PureBytes Links
Trading Reference Links
|
It actually depends on # parameters *and* # trades. To see this in a
more quantitative light, *assuming all else is equal* think of how a
confidence interval for the average trade (in a backtest) changes when
degrees of freedom are adjusted by an increasing number of system
parameters.
--- In amibroker@xxxxxxxxxxxxxxx, "palsanand" <palsanand@xxxx> wrote:
> As discussed in a recent STOCKS & COMMODITIES article by Jeffrey
Owen
> Katz and Donna McCormick, a rule of thumb in evaluating trading
> systems is that the more parameters a system has, the less robust
the
> system is. Taken to the extreme, many fitting parameters can be
used
> to curve-fit past data to eliminate all whipsaws while maintaining
> good performance. The potential of such a system working in the
real
> world is nil...
>
> rgds, Pal
> --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
> wrote:
> > agreed. if the fact that a trading system did well in the past
has
> no
> > bearing whatsoever on whether it does well in the future, how can
> we know
> > anything at all about the future performance of a proposed
trading
> system?
> >
> > dave
> >
> > The gambler”Ēs fallacy is a fallacy because the gambler
ignores
> the
> > independence of the outcomes and looks for patterns that do not
> exist. If
> > we have designed trading systems based on recognition of patterns
> that
> > precede profitable trading opportunities, and if those patterns
are
> > persistent, then we no longer have random, independent outcomes.
> Our
> > trading systems do have serial dependencies and upward sloping
> equity
> > curves. So analysis of the equity curve provides an indication
of
> the
> > health of the trading system.
> >
> >
> >
> > Howard
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for your HP, Epson, Canon or Lexmark
Printer at MyInks.com. Free s/h on orders $50 or more to the US & Canada.
http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/mOAaAA/3exGAA/qnsNAA/GHeqlB/TM
---------------------------------------------------------------------~->
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 http://docs.yahoo.com/info/terms/
|