|
PureBytes Links
Trading Reference Links
|
Mark: thanks for the responses. Indeed it is tricky for me to keep
straight. My warning signs are if I am producing > 200CAR, with >90%
accuracy and <10%dd I **may** give some thought to it being
overoptimized and curve fit. :-o
Ken
-----Original Message-----
From: quanttrader714 [mailto:quanttrader714@xxxxxxxxx]
Sent: Wednesday, November 19, 2003 10:34 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Optimizing Selection Criteria vs Timing Signals
These are great questions. Comments below.
--- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx> wrote:
> Do the same pitfalls and prohibitions exist for keeping a constant
> timing signal (whatever it is) yet optimizing variables that alter
> basket selection criteria? Can you "curve fit" a set of selection
> criteria?
Here, it's pretty clear cut. You're reducing degrees of freedom and
whenever you do that, you're curve fitting.
> It "feels" like the problems would be different (and perhaps
minimized)
> because of the dynamic changes that occur, ESPECIALLY if stop
conditions
> are used. OTOH, I suppose it would not be different using the same
> criteria on the same basket of stocks over the same time period as
this
> would yield the same baskets of stocks each time. What I mean by
that
> is that for a given combination of criteria, the same stocks would
be
> selected.
This part is trickier. Could be debated but I'd say that if your
constant basket of stocks is not necessarily all stocks but the
*universe* of stocks that you would consider trading or a random
sample of it, you're not reducing degrees of freedom. Because your
code is free to choose any stock (that you'd trade). But when you
restrict that freedom, you're curve fitting.
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/
------------------------ 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/
|