|
PureBytes Links
Trading Reference Links
|
Daryl,
On Thu, 6 Jan 2000 08:34:21 -0800, you wrote:
>How are you setting up a system in MS to study options trading?
Like I discussed some months ago, I have specialized on index options,
where historical data of the market volatility are also available.
>From these data I calculate a kind of "dynamic option price" floating
"at the money". This imo is a solid & realistic base to do appropriate
system tests, at least for options "near the money".
Most of the system test calculation is done in Excel, because there
imo are some critical shortcomings in the MetaStock system test
capabilities, like I have discussed here some months before.
But do you also have some inputs to answer my questions?
>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
| Disclaimer: The views of this user are strictly his own.
|