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I'd rephrase the question to, what method or methods will tell us how
the system is likely to perform *when traded in real time*? Short
answer IMO is OOS testing and analysis.
P.S. MCS not a crystal ball or magic. It's just a tool that uses
brute force to estimate what is difficult or impossible to calculate
otherwise and garbage in, garbage out definitely applies.
--- In amibroker@xxxxxxxxxxxxxxx, "brian.z123" <brian.z123@xxx> wrote:
>
> Hello Fred,
>
> Precisely.
>
> I'm not going crazy after-all!
>
> What method or methods will tell us how the system is likely to
> perform out of sample; since in the end system trading is nothing
> but a perpetual walk forward test?
>
> BrianB2.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@> wrote:
> >
> > While MCS is a good tool for validating some things it is not a
> > substitute for out of sample and/or walk forward testing ... If
> for
> > example I:
> >
> > - Write a system
> > - Test it to make sure the rules are working as intended
> > - Optimize the variables to have the system produce the best
> results
> > it can based on some metric or metrics within the confines of the
> > rules
> > - Use an MCS on the trades that are generated
> >
> > This tells me nothing about how the system is likely to perform
> out
> > of sample. It only tells me about the statistics related to the
> > optimized rules of the system which are the result of scrambling
> the
> > order of the trades that resulted from using the same in sample
> data
> > that system was optimized on.
> >
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