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System testing, what an art!
My personal philosophy is to test on discrete contracts only. My style is
fairly short term -
in only a couple days usually, so my results don't require long positions.
In general - try to model closely the way you will be trading. If you'll
exit and roll over on a certain
date, try to test that way.
Use backtesting to find good trading ideas, and then test on other data to
weed 'em out.
My biggest rookie mistake was to test ideas that I couldn't stomach. Almost
anything will
test out given a big enough drawdown.
And by the way, I feel the real art is in the exits.
..mark
At 02:32 PM 11/12/98 -0600, you wrote:
>There are probably as many techniques for testing and optimizing
>systems as there are traders.\
>I would be interested in the techniques of others with a view to
>improving my own technique.
>
>In particular I would like to know what you think about using
>continuous contracts for system testing. What type of continuous
>contract do you use and why?
>
>Basically my technique is to optimize a small set of variables (I
>prefer no more than three) first against the continuous contract, and
>then against a year or two of the most recent specific contracts. Then
>I look for sets of optimization variables which seem to repeat the
>most often as winners.
>
>Using these selected optimizing variables, I can then examine the
>system for possible fine tuning in other ways.
>
>How do you do it?
>
>What do I do that you think is foolish?
>
>What do you do that you think is brilliant?
>
>--
>
>Best
>Barry
>mailto:bspreen@xxxxxxxx
>
>
>
>
>
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