PureBytes Links
Trading Reference Links
|
"If one can always be sure what type of market one is in."
And therein lies the rub ...
--- In amibroker@xxxxxxxxxxxxxxx, "wavemechanic" <wd78@xxxx> wrote:
>
> ----- Original Message -----
> From: "jtelang" <jtelang@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Friday, October 17, 2003 4:53 PM
> Subject: [amibroker] Re: Will systems degrade? (was Optimization)
>
>
> snip
>
> > I have a question for proponents of back and forward testing.
Assume
> > that we're dealing with 3 years of data, where we use first two
years
> > to optimize and the third year as forward testing period. Further
> > assume that you get following results -
> >
> > 1. When optimized over first two years, both of those years show
> > profit, but the third year shows loss.
> > 2. When optimized over all three years, all three years show
profit,
> > although less than that showed by first test in first two years.
> >
> > Which set of parameters would you use going forward in the fourth
> > year? Or would you rather just dump the strategy? I personally
think
> > that back and forward testing makes sense ONLY if you do the
latter,
> > but I'm not sure that's what happens. But then... I could be
wrong.
>
> The first question is does the third year differ from the first
two. For
> example, do the first two years trend up and the third down. If
things are
> going to work OK, the two periods should be similar. For this
reason, some
> use bull markets to develop bull market systems, etc., and others
use a
> sufficiently large data set that encompasses bull, bear, and
trendless
> markets to develop systems. The first approach would appear to be
more
> aggressive, if one can always be sure what type of market one is
in. The
> other has a shot at producing a robust system that rides through
all types
> of markets. Choose your poison since there is no absolute answer.
>
> >
> > Jitu
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
> > wrote:
> > > I'm willing to do the work I think, have been trying to
already, to
> > the best
> > > of my limited understanding.
> > >
> > > but it's the concept of what to look for and how that puzzles
me.
> > sometimes
> > > I do get nice backtest numbers, at least moderately nice. but
if I
> > don't
> > > understand why that should be possible given what's been said
about
> > the
> > > dynamics of market evolution, why should I believe them?
> > >
> > > I keep coming back to the same question that I'm sure you're all
> > sick to
> > > death of, I know I am: if auto-optimization isn't very
successful,
> > doesn't
> > > that imply that past performance tells us very little about the
> > future, and
> > > if that's the case, how do we develop trading systems?
> > >
> > > dave
> > >
> > > > ...frankly, it's hard to see how rational
> > > > trading system design is possible in
> > > > a world like this. or am I just depressed?
> > >
> > > I like Edison's attitude when looking for the right material
to
> > use
> > > in the light bull. When yet another "bright" idea (sorry I
could
> > not
> > > resist) failed when tested, he is reported to have said, "We
are
> > > making progress. We now know of 999 things that will not
work."
> > > After trying everything from bamboo to who knows what, he
> > eventually
> > > found the right material.
> > >
> > > Genius is 5% inspiration and 95% perspiration.
> > >
> > > b
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
> > -----------------------------------------
> > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > --------------------------------------------
> > Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> > Your use of Yahoo! Groups is subject to
http://docs.yahoo.com/info/terms/
> >
> >
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for your HP, Epson, Canon or Lexmark
Printer at MyInks.com. Free s/h on orders $50 or more to the US & Canada.
http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/mOAaAA/3exGAA/qnsNAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|