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Hello DY,
Gee, that's an old one.
I have been trying to hide it in the broom cupboard.
Thanks for the lead, I haven't read that file.
I am making stats/system evaluaion my area of specialisation (make
your weakness your strength) so I am always keen to pickup anything I
can.
I have a backlist of books/leads to follow from Grant/PSVanS and
QuantTrader but I am still looking for the no 1 Quant author or
thinker.
BrianB2.
--- In amibroker@xxxxxxxxxxxxxxx, "thomasdrewyallop" <drewyallop@xxx>
wrote:
>
> 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@> 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.
> > > > > > >
> > > > >
> > > >
> > >
> >
>
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