|
PureBytes Links
Trading Reference Links
|
Hello Drew,
Thanks.
Looking forward to your follow up.
For me, things got curiouser and curiouser when Mr Aronson's treatise
on *Detecting Data Mining Bias* called for *out of sample* testing.
However, I will reserve comment until after I read the book ( a few
weeks delivery to my locale).
I think we should do everything in our power to disprove the OOS/walk-
forward hypothesis.
There are only two possible outcomes; prove it wrong enough by
finding something better or prove it correct enough by failure to do
so.
For the benefit of the nervous, I am not going to leave one wobbly
hypothesis for an even wobblier one.
We could also positively reshape the objective to comfort the OOS
faithful:
*That our IS analysis is so good that every time we submit an IS
accepted system to OOS testing it passes*.
BrianB2 *:-)
--- In amibroker@xxxxxxxxxxxxxxx, "thomasdrewyallop" <drewyallop@xxx>
wrote:
>
> Hello all,
>
> I have been working on the MCP technique described in Aronson's book
> for some time now. I have just completed conversion of the C++ code
on
> the web site to C# plus some associated utlities to massage AB data
> into the required format yet. No test yet; I will update under this
> thread.
>
> A few words on the theoretical underpinnings. There has been new
> information since the book was published and the code written. I
> believe an update is in the works. Also you need to be cautious when
> running MCP on IS data. This is only valid under certain conditions.
> Otherwise you must run OOS. I had an email from Aronson explaining
all
> this but can't find it. You might want to contact David directly - a
> good guy and willing to talk with readers.
>
> Finally, I would not reject walk forward. A very useful technique
> despite Aronson's reservations. Well integrated with AB too via Fred
> Tonetti's IO add-in.
>
> Best regards,
>
> Drew Yallop
>
> p.s. just remebered that there is discussion on MCP as a possible
> future addition to AB. Look in the AB suggestions section of the
web site.
>
------------------------ Yahoo! Groups Sponsor --------------------~-->
Transfer from your equities account.
Receive up to $1,000 from GFT. Click here to learn more.
http://us.click.yahoo.com/aZttyC/X_xQAA/cosFAA/GHeqlB/TM
--------------------------------------------------------------------~->
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|