Hi Natasha,
Here is the entire message
intact, with thanks to Herman.
Steve
-------------------------------------------------------------------
In addition 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:
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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----- Original Message -----
Sent: Monday, April 04, 2005 1:02
PM
Subject: [amibroker] Optimizing &
Robustness of single parameters
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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