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<DIV><FONT color=#000080 face=Tahoma size=2>Anyone had any experience with
StockWiz?</FONT></DIV>
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<DIV><FONT color=#000080 face=Tahoma size=2>Their pricing seems OK but is data
good?</FONT></DIV>
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<DIV><FONT color=#000080 face=Tahoma size=2>Richard
Bone</FONT></DIV></BODY></HTML>
</x-html>From ???@??? Thu Jan 06 11:52:15 2000
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From: lists@xxxxxxxxxxx (rudolf stricker)
To: metastock@xxxxxxxxxxxxx
Subject: how to improve generalization in system optimization
Date: Thu, 06 Jan 2000 15:46:54 GMT
Organization: tbus tech-consult & simulation, 80538 munich, germany
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Status:
Working on a trading system for options, I got nice results in terms
of "consistency of profit" by combining different criterions during
the optimization process, such as
profit,
number of winning / number of loosing trades,
sum of wins / sum of losses, and
shape of the loss distribution.
Even if the profit of the system in a given time frame was reduced by
a factor of up to 10 by using these combined criterions, consistency
of the results ensures, that drawbacks are small and money management
becomes an easy task, because of the "well-behaved" loss
distributions.
But still I'm not satisfied with the generalization capabilities of
the system, i.e. its out-of-sample results. To improve generalization,
I use some techniques, like
periodical (e.g. weekly) adaptive refinement of the system
and increasing weight function for "newer" trades.
My questions on this topics are:
What is a "good generalization result" for a trading system? Is it for
instance a good result to get an out-of-sample result which is about
50% of the result from system optimization?
Are there other important techniques (beside of periodical
re-optimization and weighting along time) to improve generalization
capabilities of a system? - Where should I look at? - What should I
try?
Is there also a risk for overdoing the adaptive refinement and / or
the weighting along time? - What could be seen as a relevant criterion
to find the right measure, e.g. for the "update frequency" and the
ratio of maximum / minimum weight?
Any helpful hint is welcome!
mfg rudolf stricker
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