|
PureBytes Links
Trading Reference Links
|
<SPAN
class=969375504-20102003>one question pal: if you prefer not to optimize
parameters, how do you set them? or do you have some kind of trading rules that
don't have time constants, trigger levels, etc, that need to be
set?
<SPAN
class=969375504-20102003>
<SPAN
class=969375504-20102003>dave
<SPAN
class=969375504-20102003>
<BLOCKQUOTE
>I
thought I might throw in my 2 cents.Vendors love optimization, because
it can generate eye popping hypothetical profits which has no connection
to real-time trading. I prefer a system to work without optimization.
But if I have to do it, I would make sure that the optimization is robust
in the following manner:1. The sample size of data should be large
enough to represent real-time market conditions - bull, bear and sideways
markets. 2. The look-back period should be as large as possible for
the same reasons. 3. The testing of optimizable parameters should
be on out of sample data using walk-forward analysis. 4. The
Central Limit Theorem says that for a sample to assume the characteristics
of the population, the size of sample should be large. The minimum sample
size should be around 30. But since an uptrend or downtrend can last for
say 50 periods, I would have a minimum sample size of 100 periods making
sure that the full market cycle is there (uptrend, downtrend and
congestion). 5. The optimizable parameters should be as few as
possible and tested in a wide variety of markets.Curve-fitting is
like rolling a fair dice with 1/6 probability of getting any number from 1
to 6, rolling it 5 times, getting #6, 4 out of 5 times (80%) of
time.A lot of traders fall in the trap of curve-fitting without being
aware of it. So when designing a system, it is important to keep your
guard up as far as curve-fitting is
concerned.Regards,Pal--- In amibroker@xxxxxxxxxxxxxxx,
"Gary A. Serkhoshian" <serkhoshian777@xxxx> wrote:>
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,> Gary>
> Fred <fctonetti@xxxx> 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.
Yahoo! Groups Sponsor
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 the Yahoo! Terms of Service.
|