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I'll pick up Jurik if you recommend it, Walter.
[Noticed the reviews at Amazon were a mixed bag.]
You mentioned Connie Brown's book in your last post; I happened to browse
it at B&N yesterday and was completely underwhelmed -- hope you like Jurik
[or parts of Jurik] better.
[As posted elsewhere, I didn't find the book as meaty as the toc promised.
http://www.aeroinvest.com/support/tablecontents.htm
I liked the reverse engineering chapter more than most, but it was pretty
sketchy.
Bob
bjagow@xxxxxxx <mailto:bjagow@xxxxxxx>
-----Original Message-----
From: owner-metastock@xxxxxxxxxxxxx
[mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Walter Lake
Sent: Friday, June 25, 1999 9:08 AM
To: Metastock bulletin board
Subject: system testing
Hi Bob
"... Did like the look of his system testing [not that swift in Excel
myself] and the 30-day return policy was clearly spelled out.
Still looking for the 1st brave soul to report in .."
The walk forward ideas are interesting. For a more complete look, you might
want to check out "Computerized Trading" edited by Mark Jurik. Chapter 8 by
Dr. Michael De La Maza has some really interesting ideas on "rolling
windows" walk forward testing. He also includes the complete Excel code for
the "Markowitz/Xu data mining correction formula".
Chapter 9 by David Stendahl discusses different kinds of equity curves,
including a rolling equity curve. I particularly like the "underwater equity
curve", which shows just how bad things can get.
Best regards
Walter
PS: "first brave soul" that sounds like code words to me.
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