|
PureBytes Links
Trading Reference Links
|
> I think Pardo's WFE is questionable. How can you compare IS CAR with OOS CAR
> if the concatenated IS and OOS periods are completely different?
Why not use the same periods for both? AMI doesn't do this for you automatically, but you can optimize over the period covered by your OOS walk forward data to see how the system would perform if it was in sample and compare that to the OOS walk forward results.
What we are looking for is to see how vulnerable to over fitting your system is.
For example, it is not hard to double the IS performance of a system by adding just one more tweakable parameter. But doing so will likely hurt out of sample results, and greatly hurt WFE.
The problem is that the designer will reject the change unless the OOS results also improve and keep searching until it does. So the OOS data is no longer really OOS.
The WFE can warn the designer that he has too many degrees of freedom.
------------------------------------
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
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/
|