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>Whether or not you believe sensitivity analysis has any value during >the IS optimization phase, if the topic is of interest to you I >suggest you read that section of the IO doc which can be found in >the files section here.
Pure speculation only but yes I believe it is THE value point of opting.
Yes I am interested in the theory ... I can see where it fits but confirming the details will be instructive.
I don't know if I am ready to come over to the dark side just yet though.
Thanks.
--- In amibroker@xxxxxxxxxxxxxxx, ftonetti@xxx wrote:
>
> Brian,
>
> In response to ...
>
> ... "Have you published a recommended method, or commentary, for these difficult analyses anywhere?
>
> Has anyone else published anything on sensitivity analysis worth reading?
>
> Thanks for the feedback ... sensitivity analysis is the aspect of opt that is leaping out at me." ...
>
> Yes ... It's called IO ... ;) ... Whether or not you believe sensitivity analysis has any value during the IS optimization phase, if the topic is of interest to you I suggest you read that section of the IO doc which can be found in the files section here.
>
> In particular:
>
> - Pages 18 - 20 for the graphical presentation of sensitivity of variable values arrived at during optimization which can be utilized regardless of the number of variables
>
> - Pages 36 - 41 for theory behind, methodology of and results from sensitivity testing during IS optimization
>
> - Pages 34 - 35 for directives that can be used to affect how thoroughly sensitivity testing during IS optimization can be performed
>
> I had posted some abbreviated content about this in the UKB but I don't know if thats still there as I don't seem to be able to reach the UKB url today. In any case the pages in the doc I referenced above have more diagrams and pictures than words so it shouldn't take long to get through what's there with the middle reference being the real guts.
>
> ----- Original Message -----
> From: brian_z111
> Date: Sunday, June 21, 2009 1:59 am
> Subject: [amibroker] Re: Benchmarking
> To: amibroker@xxxxxxxxxxxxxxx
>
> > > This may be true for your brain, but not for a mechanical
> > trading >system ...
> >
> >
> > True, mechanical system analysis takes the subjective factor out
> > of the equation, provided the practitioner doesn't inadvertently
> > let subjective analysis creep in.
> >
> > Mechanical system analyses are performed by people with brains though.
> >
> > The value of any analysis, however, rests on the premise that
> > the future will resemble the past with enough similarity to make
> > historical data relevant ... if the future is changing faster
> > than in the past where are we going to get the data to test?
> >
> > Of course a prediction that the future will not be similar to
> > the past isn't worth the paper it is written on ... it doesn't
> > hurt to be cautious though, especially when you see some warning
> > signs, does it?
> >
> > >In more complex optimizations .... this a little more than a
> > little >bit more difficult ..... where it counts i.e. during the
> > >optimization process itself.
> >
> > Have you published a recommended method, or commentary, for
> > these difficult analyses anywhere?
> >
> > Has anyone else published anything on sensitivity analysis worth
> > reading?
> > Thanks for the feedback ... sensitivity analysis is the aspect
> > of opt that is leaping out at me.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, ftonetti@ wrote:
> > >
> > > Brian,
> > >
> > > In regards to your statement of ...
> > >
> > > ... "As an aside I am sceptical that there is evne such a
> > thing as OOS when we use historical data ... for one thing we
> > are all too widely read to be naive about any trading idea so in
> > that sense we have all walked over any historical data, we care
> > to get our hands on, thousands of times .. in that sense live
> > trading is the only 'real' OutOfSample data" ...
> > >
> > > This may be true for your brain, but not for a mechanical
> > trading system ...
> > >
> > > As far as optimization is concerned the way to work the
> > problem is backwards ...
> > >
> > > Assuming that the goal is to have a robust set of variable
> > values i.e. one that is most likely to do well OOS then this
> > translates into having those parameter values not be highly
> > sensitive. In a two variable system this is fairly easy to
> > visualize with AB's 3d plots picking whatever performance metric
> > one wants for the the z-axis. In more complex optimizations
> > that involve more than 2 variables and/or enough combinations
> > where exhaustive search is not feasible then this a little more
> > than a little bit more difficult even after the fact let alone
> > where it counts i.e. during the optimization process itself.
> > >
> >
> >
> >
>
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