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Yes.overfitting means to overoptimize parameters for a sample data and that
this paramaters are not good in forward data.
But, what happens if you filter a lot of trades..and trade very rarely. This
is not overfitting but might not be statistically significant?? what's the
danger of this?
----- Original Message -----
From: "Ara Kaloustian" <ara1@xxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, January 19, 2004 9:00 PM
Subject: Re: [amibroker] overfitting
> optimizing too much
>
> ----- Original Message -----
> From: "emarco" <emarco@xxxxxxxxxxxxxxx>
> To: <Trading_Systems@xxxxxxxxxxxxxxx>
> Cc: <amibroker-ts@xxxxxxxxxxxxxxx>; <amibroker@xxxxxxxxxxxxxxx>
> Sent: Monday, January 19, 2004 3:51 PM
> Subject: [amibroker] overfitting
>
>
> > Does anyone in this board can tell me what overfitting really
means....is
> > related to :
> >
> > a. too many filters..that translates in a few trades...but profitable in
> out
> > of sample data? Is there risk in this?
> >
> > b. optimizing paramters that will transalte in very good results in a
> sample
> > data?
> >
> >
> > Thanks
> >
> > Juan
> >
> >
> >
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>
>
>
> Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
> -----------------------------------------
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
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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/)
--------------------------------------------
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