|
PureBytes Links
Trading Reference Links
|
You want an econometrician, or a econometrics book and a lot of free
time.
Gabriel
-----Original Message-----
From: Michael Tepper [mailto:michael.tepper@xxxxxxxxxxxx]
Sent: Thursday, April 22, 2004 12:14 PM
To: Omega-list@xxxxxxxxxx
Cc: MEE
Subject: analysis of trading systems
I would appreciate any suggestions from the members of the group,
regarding the below, for the right software, analytical approach, and
good consultant.
We want to do analysis of our trading systems. We are looking to
analyze 10-50 variables used in each of 10-30 stock trading systems.
The goal would be variable set selection.
We are looking for the right direction for this analysis; finding the
software and the right person who can help us with the analysis.
I can describe what I think the goal is (but maybe it can be better
stated): I think the goal is how to analyze our simulations such that
we choose a good variable set (varset), and increase the odds that we
will realize real profits, not just simulated profits. How do we use
our simulations to choose good systems to trade?
Example: We have tests from an optimization on a list of stocks. There
are multiple variables (say, two dozen variables in a test). The
optimization tests show varying results.
Some possible questions: How is each variable affecting results (i.e.
the relative impact versus other variables)? How to ascertain the
confidence level for a variable selection (what we call a varset)? Can
we develop a confidence level for each varset and compare the confidence
levels to each other? Is that useful for the real world? Is there an
objective way to do all this? What questions we should be asking of the
data? What is the way to approach the test results?
Thanks.
Michael Tepper
|