|
PureBytes Links
Trading Reference Links
|
The degree to which absolute price levels affect backtesting results can
differ greatly, depending upon the exact nature of the manner in which
performance is measured. Obviously, if simple point gains/losses are used,
absolute price levels will have a huge effect. This effect can be
eliminated by using percentage gains/losses as the measure.
I'm not sure if this addresses your question or not - it's not entirely
clear what kind of "bias" you're referring to.
Regards,
Carroll Slemaker
----- Original Message -----
From: "Mel" <melsmail@xxxxxxxxxxx>
To: "OmegaList" <Omega-List@xxxxxxxxxx>
Sent: Monday, July 10, 2000 3:34 AM
Subject: Bias in Testing
> Testing on back adjusted data (going back 18 years) it is not too hard to
> come up with systems that appear to do well particularly in a long term
> rising scenario. Question is how can I have faith in results where the
early
> back adjusted prices are significantly higher with relation to the real
> prices at the time. Obviously any optimization of any system will have
> significantly different weighting with relation to the real prices at the
> time. How can this weighting be equalized - would detrending of the back
> adjusted data reduce/eliminate any bias or should one incorporate a data2
> (real contract) price in the system testing? My goal is to reduce the
number
> optimization inputs to a minimum so that as a robust system I can
> trust the results. Any thoughts?.
>
>
> Mel Fox
>
|