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Hi Rich --
Do I understand correctly --- the RAR remains about the same for many runs, each of which had some random noise added to the input price data?
If so, that is generally a good sign -- your system is recognizing and giving buy and sell based on the signal portion of the data, as you asked it to, rather than the noise portion.
As always, be sure to perform tests on out-of-sample data that was not used to develop the model.
Thanks,
Howard
On Thu, Jun 12, 2008 at 9:41 AM, foxblade2000invest < foxblade@xxxxxxxxxxxx> wrote:
Hello,
After a few issues (thanks for the help those who contributes) I've
managed to perform monte carlo analysis on a system I'm testing.
If I sort the reults by weight of noise added, the net profit % drops
almost linear - but the RAR remains almost constant.
The noise is reducing the exposure of the system (hence the net %
return) but the quality of the signals are undiminished.
Is this to be expected from a system that isn't curve fir - or should
I be alarmed at the drop off in exposure / net profit?
In short - when looking for a drop off in "performance", what results
should we define as "performance".
Thanks in advance,
Rich
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