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-----Original Message-----
From: Blaine Mathieu <bmathieu@xxxxxxx>
To: Timothy Morge <tmorge@xxxxxxxxxxxxxxx>; omega-list@xxxxxxxxxx
<omega-list@xxxxxxxxxx>
Date: Thursday, March 19, 1998 10:13 AM
Subject: Re: Ok, educate me...
>The sad fact is that the ONLY WAY to properly test a canned "black-box"
>system is to test it on new data that the system has never seen. Since you
>have no way of knowing what past data the system has seen and hasn't seen,
>the only option is to test the system on future data, i.e., paper trade the
>system (or, heaven forbid, trade it with real money).
OR, may I suggest, you can test it on a totally different market (those
numbers are unknown with totally different characteristics- standard
deviations, mean, distributions...). I play around on the Nasdaq a lot, so I
test my systems either on the Russell 2000 or NYSE (they both tend to be
less volatile when compare to the Nasdaq). For bonds, how about trying the
system designed for US treasuries on the British treasuries (does such a
thing exist? I don't know that much about bonds).
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