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Backtesting is a useful first step as if some particular system can't
be demonstrated to perform well IN sample then it's probably totally
useless ... An MCS evaluation may add something to this as the
liklihood of DD's expected with the same list of trades might be
signifcantly higher then one otherwise would otherwise expect ...
But neither methodology will provide any clues as to how the system
might be expected to perform at the right edge of the chart ...
--- In amibroker@xxxxxxxxxxxxxxx, "Michael.S.G." <OzFalconAB@xxx>
wrote:
>
> Fred,
> I was thinking a 10 year span would give a reasonable base
test.
> Then if a system looks promising, Then the user can download the
system
> and perform test on various other ranges to their hearts content. A
> system may also be tested on a completely different data set
(different
> exchange) for a general robustness test. Of course a system can be
curve
> fit, But this would quickly be noted and posted to the comments
section
> by other users. As it's an open souce project, Your more than
welcome to
> assist in resolving or creating workarounds for such issues as you
see
> fit. And if you don't see backtesting as a useful tool at all, Then
> there is no need to participate.
>
> ATB
> Michael.
>
>
> Fred wrote:
> >
> > As stated previously, back test stats only really tell one about
how
> > well one has managed to curve fit some particular system to the
data
> > that's in play. It tells one nothing about how any given system is
> > likely to perform out of sample which is of course where all
investors
> > and/or traders use real money.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%
40yahoogroups.com>,
> > "Michael.S.G." <OzFalconAB@>
> > wrote:
> > >
> > > Backtest Framework is now known as "AB Trading Framework"
> > >
> > > It's not much, But here it is anyway....
> > > 1st Alpha release of "AB Trading Framework" is available at
> > > http://www.amibroker.org/3rdparty/AB_Trading_Framework/
> > <http://www.amibroker.org/3rdparty/AB_Trading_Framework/>
> > >
> >
> >
>
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