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VK / list
Most of my systems are long term and are intermarket related trading. These
systems i retest are not my best but are monitored incase they start to
perform rediculously better. Intermarket relationships can be tricky ....for
example the latest high oil prices are causing some of my intermarket
analysis systems to drawdown. I beleive (but i am open to anything) that
markets change over time so i really dont want to go further back than 4
years and yet 2 years doesnt give me enough trades to be comfortable with {i
dont like less than 50 trades in my analysis). I could do things
differently i guess , but i like to backtest for some reason ....[might be
some sort of mental disease i have].
What the general accepted minimum no of trades to be comfortable with? ....
maybe i need to change it to 30?
Cheers
Cameron
-----Original Message-----
From: VK [mailto:volker@xxxxxxxxxxxxxx]
Sent: Wednesday, August 25, 2004 3:52 PM
To: camacazi@xxxxxxxxxxx; 'Philippe'; 'Omega-List'
Subject: AW: Add on Performance summary with Percent values and lot
more.
This is called walk forward optimization and does not improve results. In
fact you leave away important information (older history). You can program
it and run the test automatically then you will see. Why would you
re-optimize every 4 years and not every 2?
Volker Knapp
(www.wealth-lab.com)
-----Ursprüngliche Nachricht-----
Von: c [mailto:camacazi@xxxxxxxxxxx]
Gesendet: Wednesday, August 25, 2004 6:01 AM
An: Philippe; 'Omega-List'
Betreff: RE: Add on Performance summary with Percent values and lot more.
Hi all
BTW... by the way
personally ...i backtest the same time frame [4 years] and the same amount
[1 futures contract or 100 000 usd on currencies] which equates to the same
time frame and same percentage risked. then after 6 months i reevaluate
with the latest 4 years data and backtest all my best systems again. This at
least gives me something similar to compare things with.
just my 2c
Cheers
Cameron
-----Original Message-----
From: Philippe [mailto:Synergy@xxxxxxxxxxxxxxxx]
Sent: Wednesday, August 25, 2004 4:19 AM
To: 'Omega-List'
Subject: Add on Performance summary with Percent values and lot more.
In a precedent post i was asking :
By the way have your heard about add on or new coding for the
Tradestation performance summary (for TS200i) to make it updated based on
Percent values, not only on $ or points values (updated max DD, trade by
trade , net profits and so on).
Back testing systems with long historical data's is a must to test
robustness and the Performance summary from TS give information either
wrong or at least not useful at all, because in $ and not updated in
% .
MaxDD are erroneous as, MAE, MFE, Average trade, net profit and all
intermediate results.
What a confusion !!!
Good news for system backtesters with TS2000i ( ? for TS7 & 8) :
An add on exists here and seems to be very complete , monitoring portfolio
in real time and ...
RealTime PortfolioAnalyzer
http://www.tsresearchgroup.com/en/articles/prod_20020328110411.php
Does somebody use it ?
Regards
Philippe
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