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Fred,
Could you narrow-down your idea of a reasonable sample size for backtests. You've been hinting at rather sizeable backtesting periods, but would like to put some numbers to it. Also wonder if you use # of trades as a guide versus period of time for backtesting period.
Thanks,
GaryFred <fctonetti@xxxxxxxxx> wrote:
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@xxxx]> > 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.Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend 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 the Yahoo! Terms of Service.
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