Hi Keith, and all --
Exactly my
point.
Thanks,
Howard
On Fri, May 8, 2009 at 10:26 PM, Keith McCombs
<kmccombs@xxxxxxxxxcom>
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@xxxxxxxxxps.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.
>
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> To: amibroker@xxxxxxxxxps.com
> From:
dloyer123@xx.
> Date: Sat, 9 May 2009 03:03:16 +0000
>
Subject: [amibroker] Re: Expectancy - and related--specifically
K-rato
>
>
>
>
>
>
>
> --- In amibroker@xxxxxxxxxps.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.
>
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