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Sorry, but I don't agree with this statement. "I'm sure everyone
would more than emphatically agree with me that the more historical
bars the better to test on."
While I do agree that using too little data can be a problem, too
much data is just a big an issue. Curve fit is a complex issue and
the number of bars of data you use to develop your system has very
little influence on it.
I'm not going to go into a long piece on curve fit because there are
many really good systems development books and internet articles that
define, explain and debate the issue.
Curve fit is easy to test for using out of sample data in walk
forward tests. Indicators can be tested for robustness prior to walk
forward testing.
Curve fit is caused by over optimization, lack of robustness in the
indicators, too many variables in the optimized equation and poor
selection of variables within the equation.
Not one of the systems development books that explore the issue of
curve fit have a set number of bars of data that should be tested to
reduce curve fit or to validate equations.
No one says that 500 bars are too few and 2000 bars are too many.
Everyone has a different view. However, most authors and systems
develop people do agree on what causes curve fit.
Robert Colby in The Encyclopedia of Technical Market Indicators often
tests using 20 to 40 years worth of data. Does that mean that the
best performing systems he has found historically will work well
today. Absolutely not. He admits that many of the historcially best
performing systems have done poorly in the last few years. Is it
because of curve fit? No, it's because his historical data averages
out all types of market cycles and the last few years have been
anything but average. The point of his book is not to use what's been
great over forty years, but to look in similar places for current
versions of the similar things that will work in these markets.
Sorry I can't support your opinion. I've gotten a different
perspective from studying the issue.
Esignal is slowly increasing the amount of historical data they
maintain because of intraday system's developers requests for the
data. However, there has been talk that the historical data will not
be available to users of MS but only to Esignal trading clients.
Equis says this is not true, but I've seen some evidence of it.
Historical one minute data since 1997 on the S&P 500 can be purchased
for about $2500 from Price-data.com. For people doing intraday
trading that's reasonably priced. You can buy individual symbols for
$75.
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