|
PureBytes Links
Trading Reference Links
|
See Monte.doc in Files for a good discussion of many of the issues
discussed in this thread.
DY
--- In amibroker@xxxxxxxxxxxxxxx, "brian.z123" <brian.z123@xxx> wrote:
>
> 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@> 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: 7.5.441 / Virus Database: 268.18.2/692 - Release Date: 2/18/2007 4:35 PM
|