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There are books out there documenting 24 hours, 48 hours, and 72 hours
of decisions at the craps table and roulette wheel. Do you believe a
set of rules on those results would be valid?
In any case, the more rules the system has, the more likely it is to
be data mined. Because each rule could have been created to account
for a particular situation or situations found in the back-tested
data.
If you break the data up into 21 groups of 400 trades, how consistent
is the performance between those groups? That might also give you
some idea of the level of data mining. For example, if 2 or 3 groups
represent the majority of the profit, the system probably isn't a very
good one.
On 4/17/08, si00si00 <si00si00@xxxxxxxxx> wrote:
>
> My question is, does anyone know if the data-mining bias can be
> considered irrelvant when the sample size is so large? (in this case,
> the sample size is roughly 8400 trades). Put another way, with so many
> observations, how many different rules would have to be back tested in
> order for data-mining bias to creep in?
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