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Brian,
your post is very interesting (as always) - but I'm puzzled! Perhaps I
simply misunderstood.
E.g., you wrote:
> Here are some rules from my notebook:
>
> - good data, relevant to current conditions, is scarce. Why waste it?
> - sample error is real
> - around 300 to 400 trades is the minimum, with no further
> substantial minimization of sample error beyond, around 10,000
> - there is a sweet spot around 1,000 - 5,000 trades
> - if data is short then work with no less than 3-400
> - if data is in plentiful supply (intraday?) then use more
Quite frankly, I'm not getting it. You say that the sweet spot is around
1.000 - 5.000 trades (I assume for the IS period). So let's say for
simplicity, 1.000 trades minimum are desirable if you have enough data.
But what is enough data? As I haven't traded intraday so far I can't
answer this question for that style of trading. I'm trading daily
systems. Now let's assume that I have 10 years of daily data (would you
call that plentiful?). 1.000 trades mean 100 trades per year on average
or (if we assume 200 trading days by rule of thumb) one trade every
second day. Do your rules mean that an EOD system that doesn't produce
a trade at least every second day isn't testable/tradeable? And I'm
only talking about the IS period. What about OOS and walk-forward -
would I need, say, 20 years or data in your opinion to have enough data
for them?
Again, I assume that I simply misunderstood. Perhaps you were talking
about a system that trades a large basket of stocks in order to achieve
this large number of trades?
I'm really interested in your answer since your posts are always full of
hints worth to think about.
Best regards,
Thomas
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