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--- Herman van den Bergen <psytek@xxxxxxxx> wrote:
> At 03:45 PM 5/25/01 -0700, you wrote:
> >>... Just curious how this compares with other
> systems
> >> trading QQQ.
> >
> >first you need to only include your out-of-sample
> >performance. Good would be 100% / year. Above
> means
> >nothing.
>
> Hi Jack and other readers,
>
> Sounds like you have some experience in this area -
> would you care to share
> some?
>
> When I run a System test on the QQQ, say for the
> period 11/3/99 - 11/24/00,
> I get a long list of results. One for each opt
> combination. In my case I
> get 164 results that give me >100%.
>
> Judging by the percentage gain a large number of
> those "winners" work just
> fine on out-of-sample data for the period 11/24/00
> to today.
Just fine? Sounds like you have a winning system, but
ou guys are so clued-out. Pick an optimization
criteria. You already did that. Done. Over. Take
that best in-sample op. Throw away all others! See
how that 1 does out of sample. What specifically is
its ROA? Its %/year annualized out of sample? Ok,
now you can rest.
But please don't fool yourself by cheating. That is
what you do when you look at more than one
out-of-sample result. (What you did.) While your
system seems to work, others here are just trying to
get their money back and it is gone gone gone gone.
Jack
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