|
PureBytes Links
Trading Reference Links
|
--- In amibroker@xxxxxxxxxxxxxxx, "Howard B" <howardbandy@xxx> wrote:
>
> 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
>
Howard,
Yes, there's 40 runs taking the noise weighting from 0 - 1. And the
RAR is hardly affected (other than scatter). But the number of trades
(exposure) drops of drastically - which I'd expect......I think?
The RAR when performed in sample is about 150%, this drops to between
75 and 100% OOS. This again remains consistent as it walks forward -
so there is drop off there but the figure still seems good - again
it's understanding the context - how much drop of is expected (or
should I ask how long is a piece of string)?
Your input is greatly appreciated - sadly I don't have a lot to offer
in return (other than another book order...:-) but surely others will
also benefit from your replies.
Thanks again,
Rich
------------------------------------
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
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|