|
PureBytes Links
Trading Reference Links
|
Regards,
Foster
----- Original Message -----
From: "willsharris" <willsharris@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, April 15, 2004 1:57 PM
Subject: [amibroker] Money Making trading systems
> All,
>
> What type of systems make money in real life trading consistently.
> Would be interesting to find out what the common characteristics are,
> of these systems and how these can be implemented in AmiBroker.
>
> Thanks.
>
>
>
> 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
> Yahoo! Groups Links
>
>
>
>
>
------------------------ 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
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
Title: iShares
What makes a trading system robust?
A trading system is more likely to be robust if:
1. It is based on logic rather than solely on optimization.
2. It consists of a limited number of tests and conditions.
3. It is optimized by back testing over as long a period of time as possible.
4. It is optimized by back testing over a variety of market conditions including bull, bear, sideways and cyclical.
5. It performs well on out-of-sample testing (if enough data are available).
6. It performs well with more than one market index or fund group. This is another form of "out-of-sample" testing.
7. It performs well when the controlling parameters are varied over a range 20% above and below the optimum point.
8. Winning trades are relatively uniform in size and distribution, considering environment.
9. There are no significant consecutive or near consecutive losses, particularly during bear markets.
10. It has performed well for a period in “real time.”
Return to First Page
What are the differences between "out-of-sample" testing and "walk-forward" optimization?
I find the terms "out-of-sample" testing and the "walk-forward" method used loosely, sometimes interchangeably. To me, "out-of-sample" testing consists of taking historical price data, optimizing a trading system on part of it, and then evaluating the performance of that optimized trading system on the remainder of the data which the trading system hasn't previously "seen." Another form of "out-of-sample" testing consists of evaluating the trading system on indices and funds other than those it was optimized on.
The "walk-forward-method" consists of optimizing a trading system over a recent period of time, for example the most recent four years, and then trading it "real time" for awhile, for example one year. At the end of that year the system is then optimized again on what is then the most recent four year period and traded for another year. The period of time over which the trading system is optimized and the period of time over which it is traded can be selected based again on optimization.
Return to First Page
|