|
PureBytes Links
Trading Reference Links
|
Yes, I agree with that.
I'm not a masochist.
I sleep in a water bed and not on the floor so I can't be derogatory
about comfort.
It is just in my nature to explore the truth and take that to the
max; for the sake of knowing.
Truth; it's a beautiful thing.
After that I feel weak if I don't live by it.
Still I haven't had the guts to trade without OOS so far so my
comments are hypothetical .
BrianB2.
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@xxx> wrote:
>
> Isn't that what the psychology of trading is about ? ... Having as
> many comfort blankets as possible ? ... Without them one in this
case
> will typically suffer from one of two things, inability to pull
the
> trigger or unexpected losses after which one will suffer from the
> former ... IMHO it is best to have a pretty good idea what to
expect
> OOS before one trys it using real money. Anyone who doesn't want
to
> take the trouble can look at their IS performance metrics and take
> half the CAR and double the DD's and HOPE their OOS experience is
> that good ...
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brian.z123" <brian.z123@> wrote:
> >
> > 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@> 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.
> > > > >
> > >
> >
>
Content-Description: "AVG certification"
No virus found in this incoming message.
Checked by AVG Free Edition.
Version: 7.1.409 / Virus Database: 268.14.11/542 - Release Date: 11/20/2006
|