|
PureBytes Links
Trading Reference Links
|
Hi Howard,
What would you consider to be a sufficiently large sample for IS and then for OOS? If I develop a system that makes 250 trades a year, then if I select IS-OOS of 2-3 weeks then it's no more than 10-15 trades. Is this enough?
Regards,
Louis
2008/4/22, Howard B <howardbandy@xxxxxxxxx>:
Hi Simon --
From your description, the system was developed on a set of data, but not tested on any data that was not used during development. The data used during development is called the in-sample data. Data used for testing that was not used during development is called the out-of-sample data.
The in-sample results always look good -- we do not stop playing with the system until they look good. The in-sample results have no value in estimating the future out-of-sample results. In order to estimate what the likely profitability will be when traded with real money, out-of-sample testing is necessary.
I have documented systems that have over 1,300,000 closed trades and reasonable looking results for the in-sample period, but were not profitable out-of-sample.
There is no substitute for out-of-sample testing.
Thanks for listening,
Howard
www.quantitativetradingsystems.com
On Thu, Apr 17, 2008 at 2:29 AM, si00si00 < si00si00@xxxxxxxxx> wrote:
Hi all,
I have a friend who has developed a trading system. It is an intraday
system that makes on average around 5 futures trades per day. We were
discussing it the other day and a point of disagreement arose between
us. He claims that there is no necessity for him to test the strategy
on out of sample data because he has back tested it using over 8 years
of historical intraday data, and the patterns the strategy predicts
occur 70% of the time or more.
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?
Thanks in advance for any thoughts you might have!
Simon
__._,_.___
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
![]()
__,_._,___
|