[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

[EquisMetaStock Group] Re: Rules Management for Trading System



PureBytes Links

Trading Reference Links


Hi MG Ferreira:
I am interested on Kalman filter too, in term of training periods
for the net, do you have any suggestion on how to determine the
length of periods? If the period is too long, then could it be 
overtrained? If I can determine it, then the periods for rescaling 
based on HHV(Abs(S),periods) could be found, will it be a good 
approach?

I remember someone mentioned the ratio for period between training
and out of sample should be following
Training periods: 8
Out of Sample periods: 1
But he never mentioned about the rationale, and used it as a rule of
thumb, do you have any idea?

According to your Message 16564, I have search for Woodes Rogers on
library and amazon, and found a book called "The speculative
strategist", which did mention about Woodes Rogers' approach, but it
is too brief, does it the one you read?

I think I need a few days to digest Kalman filter and to do some
coding on it, and will reply to this topic soon under the same
subject title
Thank you :>
Eric





------------------------ Yahoo! Groups Sponsor --------------------~--> 
What would our lives be like without music, dance, and theater?
Donate or volunteer in the arts today at Network for Good!
http://us.click.yahoo.com/Tcy2bD/SOnJAA/cosFAA/BefplB/TM
--------------------------------------------------------------------~-> 

 
Yahoo! Groups Links

<*> To visit your group on the web, go to:
    http://groups.yahoo.com/group/equismetastock/

<*> To unsubscribe from this group, send an email to:
    equismetastock-unsubscribe@xxxxxxxxxxxxxxx

<*> Your use of Yahoo! Groups is subject to:
    http://docs.yahoo.com/info/terms/