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Gary,
I think that becomes a function of what one is trading and what the
time horizon is. Personally I want to see systems that I develop do
well in good markets and bad over lots of trades ( read at least a
couple hundred end to end ) before I'm interested in trading them.
Fred
--- 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@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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