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There are a lot of questions and provacative statements in your post,
only one of which from my perspective needs an answer/response.
Market behavior will continually change after that ...
Change ? from what ? into what ? I guess this is the part I don't
follow. To me there is nothing new in market behavior now that
didn't exist last month, last year, last decade, last century, but
clearly those that take a short sighted view of history and the
market action that made up that history will clearly never see it.
It's a forest and trees thing ...
--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:
> 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 .
>
> ------------------------------
>
> I fail to see the huge difference in principle between equity
feedback and
> backtesting.
>
> 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. does this seem like a reasonable starting point? what
alternative
> is there?
>
> 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?
>
> 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?
>
> 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?
>
> 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?
>
> 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?
>
> ------------------------------
>
> 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.
>
> 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.
>
> sounds way too familiar to be a completely different animal.
>
> dave
> From: Fred [mailto:fctonetti@x...]
>
> 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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