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Hi Al,
--- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx> wrote:
>Mark: I agree up to a point. However, I'm not convinced that a
>system must perform equally well across all markets using the same
>parameter values, as you suggest.
Remember, I'm only explaining my robustness criteria. Definitely not
suggesting something must meet them or it's not profitable. I've
traded much narrower (less robust) systems successfully in the past.
> What I like to do is optimize over a period that encompasses BOTH
>bullish AND bearish periods at the same time, like 1/2/99 to 12/31/01
>or 02 as opposed to selecting separate 2-year bullish and 2-year
>bearish periods. Usually, systems have a short component and a long
>component to them (unless you only like to trade either long or short
>per se). So, optimizing the parameters in a trading period that
>includes both bull and bear market action lends a certain degree of
>robustness in and of itself if you find a reasonably flat response
>surface. Then, when you test in the succeeding OOS period and get a
>reasonable performance similar to the IS period, with no local maxima
>in the 3-D space of the trading diagram, then you have a fairly
>robust system in my mind.
Interesting, never thought of it that way, will have to check it out.
The reason I break mine up is I want to make sure the bullish period
isn't carrying the bearish period.
> What about setting 0 commissions just for starters when developing
your system. After you have done sufficient optimizing and forward
testing, then set your commissions/slippage to your 1% or 0.5% or
whatever and then see if the system crashes. If it does, trash it.
It's too easy to find stuff that passes with 0 commissions/slippage
and then you get disappointed when you add it in later and the system
falls apart. I recommend you use at least .5%, preferably more.
>
> Looking forward to your remaining 8 posts.
Thanks!
>
> Al Venosa
>
>
>
>
> ---
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