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Hi Howard,
There are at least five points in Keiths post.
The one that I recall you making previously is in agreement with Keith when he said:
>snip< If I have a system with good OOS performance, why should I care what the IS performance is? >snip<
AFAIK you haven't commented, in this forum or your QTS, on the other points.
I will assume that the above point is the one you are re-endorsing.
--- In amibroker@xxxxxxxxxxxxxxx, Howard B <howardbandy@xxx> wrote:
>
> Hi Keith, and all --
>
> Exactly my point.
>
> Thanks,
> Howard
>
>
> On Fri, May 8, 2009 at 10:26 PM, Keith McCombs <kmccombs@xxx>wrote:
>
> >
> >
> > I've been told that no question is a "dumb question". So here goes:
> > If I have a system with good OOS performance, why should I care what the IS
> > performance is? And similarly, why should I care what the OOS/IS ratio is?
> >
> > Couldn't it be more important that I have a high OOS/BH (buy and hold)
> > ratio, so that I don't "confuse brains with a bull market"? Or at least
> > something that gives me confidence that I haven't just accidentally stumbled
> > on a once in a lifetime event, that, of coarse, will disappear the minute I
> > start trading real money? Does OOS/IS ratio somehow help?
> > -- Keith
> >
> > brian_z111 wrote:
> >
> > > I also create a t-test of the ave returns.
> >
> > How do you do that?
> >
> > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>, Rajiv Arya
> > <rajivarya87@> wrote:
> > >
> > >
> > > I also create a t-test of the ave returns.
> > >
> > > The in-sample is almost always significant
> > >
> > > And try to have the out of sample t-test greater than 1.64, which happens
> > for about 50% for the out-of sample results.
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > > To: amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>
> > > From: dloyer123@
> > > Date: Sat, 9 May 2009 03:03:16 +0000
> > > Subject: [amibroker] Re: Expectancy - and related--specifically K-rato
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>, Rajiv
> > Arya <rajivarya87@> wrote:
> > > >
> > > >
> > > > I like to compute a ratio of the out-sample metric and divide it by the
> > in-sample metric.
> > > >
> > > > And I like to look for multiple runs of out-sample/in-sample ratio to
> > be above 0.5 and with little fluctuation.
> > > >
> > >
> > > That is similar to Pardo's WFE (Walk forward efficiency), or a measure of
> > how much curve fitting inflated test results. Pardo suggests taking the
> > concatenated out of sample returns and divide by the result treating the
> > entire combined data set as in sample. Anything below 0.65 will probably not
> > trade well live. The higher, the better.
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > > __________________________________________________________
> > > Hotmail® has a new way to see what's up with your friends.
> > >
> > http://windowslive.com/Tutorial/Hotmail/WhatsNew?ocid=TXT_TAGLM_WL_HM_Tutorial_WhatsNew1_052009
> > >
> >
> >
> >
>
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