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There is no simple solution to this question. In general a robust system
will be insensitive to parameter variation and market variation. For
example if you have a moving average system and it displays
profitability with parameter value variation from 10 to 50 days and it
diplays similar behaviour across 50 other markets then you may be
getting closer to a robust system. In general, look for a smaller
variation in profitability than in parameter value.
--
,-._|\ Richard
/ Oz \
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v
MORIMOTO, Kozo (FinAssets) wrote:
>
> Like everyone else, I'm striving for a robust trading system which can cope
> with as much adverse conditions as possible. So my question is when
> searching out specific values for your trading system parameters, when does
> is become curve fitted? For example, I need 2 values for my system. I run
> it thru the system tester in Metastock and it spits out the 100 most
> profitable sets of parameters. I normally don't pick the no. 1 parameters
> but I usually look thru the list to see which values crop up a lot. In this
> particular case, the optimal was [14,111]. When I look thru the list, the
> numbers 13,14,15 comes up time and time again for the first value and
> anything in the range of 100~120 for the second value. So to pick out a
> round set of numbers, I chose [15,110]. Does this constitute as a curve
> fit?
>
> This question must get pretty complicated when we start to talk about neural
> nets wouldn't it? When would the nets be curve fitted and when would it be
> generalised?
>
> ------------------------------------------------------------
>
> The contents of this message are the views of the Author and
> do not necessarily reflect the views of SUNCORP-METWAY LTD.
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