|
PureBytes Links
Trading Reference Links
|
Hi Dave –
If the system did well in the past on
Out-Of-Sample data, then we have some confidence. If it did well in the
past only on In-Sample data, then we have no confidence.
If there is no persistence in patterns
being followed by profitable trading opportunities, then we are out of luck,
and all trading / investing becomes random. I believe there are
persistent patterns and that we can find them.
Howard
-----Original Message-----
From: Dave Merrill
[mailto:dmerrill@xxxxxxx]
Sent: Sunday, November 16, 2003
8:13 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Re: Backtest
using equity curve
<span
>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?
<span
>dave
The gambler$B!G(Bs 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
<font size=3
face="Times New Roman">
<font size=2
color="#003399" face="MS PGothic">Send
BUG REPORTS to bugs@xxxxxxxxxxxxx<span
>
Send SUGGESTIONS to
suggest@xxxxxxxxxxxxx<span
>
-----------------------------------------<font
face="Courier New">
Post AmiQuote-related messages ONLY
to: amiquote@xxxxxxxxxxxxxxx <span
>
(Web page: <a
href="">http://groups.yahoo.com/group/amiquote/messages/)<font
face="Courier New">
--------------------------------------------<font
face="Courier New">
Check group FAQ at: <a
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html<font
face="MS PGothic">
Your use of Yahoo! Groups is subject
to the Yahoo! Terms of Service.<font
face="MS PGothic">
Yahoo! Groups Sponsor
ADVERTISEMENT
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.
|