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We used a similar technique. The graph, which was mentioned by
others on this forum, is a spectral chart and can be seen in all
its gory details at
http://www.quant.co.za/OptStrat2.html
Although we do not do things this way anymore, it was so helpful
to see the topology so visually and we have devised a number of
measures to quantify this visual inspection.
Just a note - there is nothing wrong with this page, nor with the
information presented on it, but it is quite a bit dated. Another
guy did a similar thing around 2000 and published some TASC articles
about it, with these spheres in 3D where the size of the sphere would
be the standard error in the profits or something like that. Amazing
graphics used to do these things. We often use four or five or more
parameters, so we quickly quantified the stuff rather than figure out
how to present it visually, and we are now using those measures.
Regards
MG Ferreira
TsaTsa EOD Programmer and trading model builder
http://www.ferra4models.com
http://fun.ferra4models.com
--- In equismetastock@xxxxxxxxxxxxxxx, "hg1az" <hg1az@xxxx> wrote:
>
> 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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