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John,
I do concept testing on current data via TS6. The posted
result is that test. I then test the system
with older historical data. On this particular system, I am
using S&P 1 minute data that goes from 9/1987
to 12/2001. Attached are those results. It does not perform
well in the 80's. Overall it does not flat on its face.
Even with this kind of out of sample testing, it is not a
guarantee that the test is just a big curve fit job! Watch
out for those newly developed systems that have a hook at the end of
its equity curve! A sure sign of curve fitting. And that
is exactly where I am with this system even though I am
actively trading it. The last few trades have been good.
Regards,
Ernie
ebonugli@xxxxxxxx
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