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A "reasonable base test" is probably best defined in
terms of a good representation of different types of markets (e.g., flat, up,
down), as opposed to time. For example, if I happened to choose 1/1/88 -
12/31/97 as the 10 year period for DJIA, I suspect many would take a quick
glance at a monthly chart and say that I chose a 10 year up market. Would
one expect results from this period to be valid for a flat or down period?
For those that disagree that this is an up market period, what is a good
definition of market type?
Bill
----- Original Message -----
Sent: Tuesday, April 10, 2007 7:23
PM
Subject: Re: [amibroker] Re: AB Trading Framework
Alpha01
>
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@xxx>
>>
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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