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This was a couple years ago but it may be of some help.
We would optimize a system using 2 variables. This
could then be exported to Excel to form a 3D graph with
the variables on the X and Y axis with the profit %
on the Z axis. It was fairly easy then to see how
robust a variable was.
hg
--- In equismetastock@xxxxxxxxxxxxxxx, chichungchoi <no_reply@xxxx>
wrote:
>
> 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
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