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I do the
following:
- Add slippage to the
results ... it is inevitable that a fast moving market will not go your way + I
am sure there is some Murphy's law to the effect ;-)
- Retune the model
occasionally ... models are optimized for historical conditions and the market
does change its stripes
- Look for parameters
/ approaches that reduce trading volume and increases average trade
profitability even though net profits may be lower (in order to accommodate
market place changes and slippage)
- Look for parameters
/ approaches that are less volatile in their profit picture, e.g., I do not like
to depend on one wild month out of ten to make the bulk of the
profits
Cheers,
Navtej
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Adrian Pitt
To: <A title=omega-list@xxxxxxxxxx
href="">'omega-list'
Cc: <A title=realtraders@xxxxxxxxxxxxxxx
href="">realtraders@xxxxxxxxxxxxxxx
Sent: Friday, August 01, 2003 8:08
AM
Subject: [RT] Real-time trading Vs
Simulation
<FONT face=Arial
size=2>Hi,
<FONT face=Arial
size=2>
Most of the time
real time results don't live up to simulation results as there is always a
certain amount of artificial optimisation going on. My question is
directed to those who have compared the two. In your opinion what is the
best method of making simulated results look similar to real-time
results? There are many adjustments one can make but does anyone have
any direct experience in what they find is best? For example we could
make a RINA Index type adjustment, or we could just exclude wins, or increase
slippage etc. If people have strong views on this, what are your
suggestions for the extent we should degrade testing results to see if they
have a fair chance of holding up in real time? Assuming of course we already
have what we believe is a robust trading idea before
costs.
<FONT face=Arial
size=2>
<FONT face=Arial
size=2>Regards,
<FONT face=Arial
size=2>AdrianTo
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