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<SPAN
class=315192120-19102003>I'm not trying to be argumentative, honest (:-)... I'm
more than a little sick of saying the same thing over and over, but I j u
s t d o n ' t g e t i t
.
<SPAN
class=315192120-19102003>
<SPAN
class=315192120-19102003><SPAN
class=315192120-19102003>------------------------------
<SPAN
class=315192120-19102003><FONT face="Courier New" color=#0000ff
size=2>
<SPAN
class=315192120-19102003>I fail to see the huge difference in principle between
equity feedback and backtesting.
<SPAN
class=315192120-19102003>
<SPAN
class=315192120-19102003>let's start by assuming that backtesting performance of
a system and its parameters over some period of past data tells you something
about its future performance. it's not a perfect predictor, but it's the best
evidence we have. <FONT face="Courier New" color=#0000ff
size=2>does this seem like a reasonable starting
point? what alternative is there?
<SPAN
class=315192120-19102003>
<SPAN
class=315192120-19102003>if that's true, why is it better to do it only once?
what justification is there for picking one examination period over another?
clearly market behavior will change continually after that. don't we need a way
of working that looks at what's been happening and evolves our
response?
<SPAN
class=315192120-19102003>
<SPAN
class=315192120-19102003>sounds like we examine performance up to some point and
adjust, trade with the best-choice system and parameters for a while, then
examine and adjust again later. make sense? what alternative is
there?
<SPAN
class=315192120-19102003><FONT face="Courier New" color=#0000ff
size=2>
<SPAN
class=315192120-19102003>so then, how often do we re-examine performance
history? to put it differently, how long do we ignore any changes in market
dynamics that may or may not have occurred? why would intermittently refusing to
look and respond improve system performance or reliability?
<SPAN
class=315192120-19102003>
<SPAN
class=315192120-19102003>if that needs to be done, why not have the system
itself do it, as part of its inherent operation? why is it better for us as an
outside agent to periodically run some separate tests, reach into the
internals of the system, and change stuff?
<SPAN
class=315192120-19102003>
<SPAN
class=315192120-19102003>or should we just continue with the system and
parameters we choose at the beginning? are they somehow more valid than
what we'd choose later, using the same backtesting methods, but on a
different date range of data?
<SPAN
class=315192120-19102003>
<SPAN
class=315192120-19102003><SPAN
class=315192120-19102003>------------------------------
<SPAN
class=315192120-19102003>
<SPAN
class=315192120-19102003>I realize that even if it seems to make sense
logically, this all a complete crock if no systems put together like this even
backtest well, never mind forward testing.
<SPAN
class=315192120-19102003>
<SPAN
class=315192120-19102003>but every time I think about abandoning this line of
research, it seems like the first thing I'd want to do with a new system would
be (let me guess), test and possibly adjust it using data up to some date, then
run with it for a while after that and see if equity growth is good. if it is,
I'd want to lather, rinse and repeat with other in and out of sample data, to
make sure that wasn't coincidence.
<SPAN
class=315192120-19102003>
<SPAN
class=315192120-19102003>sounds way too familiar to be a completely different
animal.
<SPAN
class=315192120-19102003>
<SPAN
class=315192120-19102003>dave
<BLOCKQUOTE
>
<FONT
size=2>From: Fred [mailto:fctonetti@xxxxxxxxx]<SPAN
class=315192120-19102003><FONT face="Courier New"
color=#0000ff>
That IS what I was
trying to say. I suspect because equity feed back is like looking in
a rear view mirror, great for letting us know where we were and how
we could have adjusted the past to make it better, but that's about
it.
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