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> > - I know we're aiming for robustness, meaning wide applicability to
> future
> > results. even given that goal, how similar do we think 1990 or
> 1995's market
> > dynamics really are to today's, especially when you get to the level
> of time
> > constants or volume levels? how applicable to today's market is
> what we
> > learn from these older tests? how would be figure that out? and
> again, the
> > more we restrict our testing to recent years, the less out-of-sample
> time
> > there is.
>
> I like to go back to at least the 80s for criteria 3, 4 and 5.
various people here have suggested that systems based on correct principles
transcend the aspects of market behavior that change over time, but details
have been scarce. I'm very interested in what kinds of systems turn out to
have good performance and stable parameters over 30 years.
what's your source for data that goes back that far, if I might ask?
> > - if one system does better in bull years and another in bear, the
> one that
> > does better in reality will depend on the proportion of bull and
> bear years
> > that actually occur. when we weight bull, bear and sideways markets
> equally,
> > are we matching their proportions in real life? what time frame
> would we
> > want to base that judgment on?
>
> The problem is you never know when *future* conditions will be bull,
> bear or sideways and in what proportion. Remember, blunt tools, and
> equal weighting is a robust way in the absence of overwhelming
> evidence to the not do so. Especially with robust systems that do
> well under varying conditions (you'll like criterion 3).
clearly, all other things being equal, a system that does well under all
three conditions is most immune to changes in climate. but if we find
performance that balanced to be an elusive goal, we maybe then we'd tilt a
bit more toward good behavior in rising markets, since that does seem to be
where we are a significant majority of the time.
dave
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