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O.K
I am not disagreeing on the value of OOS/WF testing in practise.
Theoretically though, if we push the boudaries, it is only a comfort
blanket.
I will attempt to defend that position, as an interesting point, in
my next two posts.
I would remind our younger viewers not to attempt this at home.
BrianB2.
--- In amibroker@xxxxxxxxxxxxxxx, "quanttrader714"
<quanttrader714@xxx> wrote:
>
> 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@> 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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