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Greetings --
I disagree with Van Tharp on this point. I see no reason to limit the number of data points to 100.
Tharp does not distinguish between in-sample and out-of-sample. I suspect that all of his examples are either artificial or in-sample -- none are out-of-sample. If I have truly out-of-sample results, the more data points I have in the test, the more convincing the tests are. Assume I have run a walk forward test that has five years of out-of-sample results from a system that trades about once a week -- 250 data points. I want to use all of those results. I might want to slide a 50 or 100 point window and see what happens over time, but I do want to use all the data points.
Let me say all of that in one sentence.
If I have more than 100 truly out-of-sample data points, I want to use them all when testing the results.
No matter how many data points I have, I want to use them all.
Thanks,
Howard
On Mon, Oct 12, 2009 at 10:00 AM, bingk66 <bing.kwok@xxxxxxxxxxxxxxx> wrote:
Hi Mike,
If you are trying to cap the number of transactions 'N' to a max of 100, shouldn't the multiplier be
min(10, sqrt(N))
instead of max(10, sqrt(N))
So if N=225 as an example, sqrt(225) gives 15 and under those circumstances could overstate the value of SQN and therefore you would use 10 instead of 15. Using min gives 10 whereas max gives 15.
Bing
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