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Superfragalist,
OK, you present several strong reasons to dispute "more bars is
better". But can you turn that around to perhaps a set of
recommendations for a non-expert like me? If I have 50 systems at my
disposal along with 15 years of EOD data for the 10 stocks I trade.
Very simply put: how do I find the best system? Backtest with how
many bars?
Thanks.
--- In equismetastock@xxxxxxxxxxxxxxx, superfragalist <no_reply@xxxx>
wrote:
>
> 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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