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<SPAN
class=826570615-17102003>not to be flip, but what's the alternative? systems
with no parameters? settings based on gut feelings, anecdotes or logic? whether
we do it ourselves or our system does it mechanically by itself, isn't that how
we decide what systems and settings are useful?
<SPAN
class=826570615-17102003>
<SPAN
class=826570615-17102003>re a practical application, I have a framework I've
been using to work on auto-optimization, an evolution of code I posted for this
a few days ago. you can plug pretty much any trading logic into it, and the
framework will automatically choose new settings every bar, for one or two
parameters so far, based on what performed best over a lookback period you
choose. I'm planning to post it, probably to the library so it's more readable
than what happens to text in email, but it needs a little more documentation on
how to set it up. bug reports and suggestions will be most
welcome.
<SPAN
class=826570615-17102003>
<SPAN
class=826570615-17102003>have I found that you can plug pretty much any
common indicator into it and have it magically turn a nice profit? no way, in
fact almost nothing I've tried this way is worth writing home about at all.
<SPAN
class=826570615-17102003>
<SPAN
class=826570615-17102003>that's why I keep banging on the theory and practice of
optimization:
<SPAN
class=826570615-17102003>
<SPAN
class=826570615-17102003> - why doesn't this
work?
<SPAN
class=826570615-17102003>
<SPAN
class=826570615-17102003> - if optimizing past returns doesn't
produce good performance in the future, on what basis do we design and choose
trading systems and parameters?
<SPAN
class=826570615-17102003>
<SPAN
class=826570615-17102003>dave
<SPAN
class=826570615-17102003>
<BLOCKQUOTE
>
<FONT
size=2>From: Fred [mailto:fctonetti@xxxxxxxxx]<SPAN
class=826570615-17102003><FONT face="Courier New"
color=#0000ff>
Walk forward testing
and optimization is a great concept in theory and although I've seen lots
of ideas for how to set it up and be used over the years, unfortunately
I've yet to see anyone demonstrate that it actually works over a variety
of market conditions. There are I'm sure lots of reasons for this
which I won't delve into here but the question remains, has anyone
actually seen this put into practice where the result has been a viable
system to use in mechanical trading ? If so can you please point at
something that could be looked at objectively that doesn't reside in a
black box ?
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