|
PureBytes Links
Trading Reference Links
|
Hello Joseph,
A subject dear to my heart...
My approach is somewhat agricultural, and goes like this:
I am assuming that one parm is an entry stop and one probably relates
to a trailing stop, leaving 4 to fool with. (Which is really too many,
but often only one or two parms really affect testing significantly
anyway).
Run a few tests to find starting points for each parm, say $1250 for
entry stop, whatever for trailing, a nominal length (if there is one)
and so on, divide your test data into suitable overlapping time
slices, then laboriously test each parm, one at a time, over each time
slice and chart the results in your favorite spreadsheet.
Be meticulous about this, and save each chart. I would suggest
charting something like Expectancy, Profit Factor and maybe Average
Trade $, whatever you prefer (mainly because I never really understood
Sharpe anyway).
What you are looking for is a stable curve of results that also
remains relatively stable over time (hence the overlapping time
slices) which I believe represents a robust parm.
By stable I mean that there is no dramatic spiking of results, just a
steady curve.
This I believe is referred to as walk forward testing.
Done correctly this is a time-consuming endeavor, particularly if
done over many markets. With a little imagination much can be
automated.
Hope this helps.
--
Best regards,
Ross mail to: Ross.Bond@xxxxxxxxxx
Friday, September 12, 2003, 5:07:59 AM, you wrote:
SJE> What would be a practical procedure to find the most robust parameter set
SJE> for a system that has 6 parameters? For arguments sake, lets assume the
SJE> only result of each optimization run is the Sharp Ratio.
SJE> Any thoughts on the subject would be greatly appreciated.
SJE> Thank you,
SJE> Joe
|