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Hi,
Just going over the archieves and i dug out a mail i didnt quite well understand:
Since the attachments are not stored in the usergoups any graph to illustrate the same would be much obliged;
Thanks.
-- N !!
In add From: "Herman van den Bergen" <psytek@xxx>
Date: Thu Sep 4, 2003 9:44 am
Subject: Optimizing & Robustness of single parameters ition to using 3D surface maps to evaluate the Robustness of two or more parameters you may consider assessing the Robustness and across-market dependency of single parameters over a Watch list.
You can do this by superimposing equity lines for different parameter values to see whether they track over time (fan-out) . This is a far better method for evaluating systems and finding stocks than picking a high equity from the Optimization result table. If the equity ratios remain approximately constant
your parameters are more Robust than if the Equities do not track.
In my example I use Steve Karnish's CMO5 system (symmetrical triggers). To test this method on your own trading system you should substitute your own code inside the curly brackets of the System() function and substitute the variable named "TestParameter" for the parameter you like to evaluate. Here is a typical chart showing robust behavior:
![]() Chart for the above and for the below explanation.Thanks ???
Here is a chart for a system that may be over optimized and lacks robustness:
![]()
Things to look for:
1) Over-optimization: High profits but Equity lines move all over the place.
2) Robustness: Equity lines "fanout" keeping the system profitable under most TestParameter values
3) Synchronized dips; if all equities dip you can create an Equity-composite and use it to qualify signals.
4) Stepping through the stocks in you workspace you can observe stock-synchronization
5) Is the optimum value optimum over time?
6) Straight equity lines
Happy trading,
Herman
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