In most circles 5 years is not enough. Plus profits are not all you should be looking at imho. How about drawdowns? I get nausea just typing that word.
If you have access to past emails on this list then you might want to search for "robust". There have been several nice exchanges on this term - one that your have just tripped over. d > -----Original Message----- > From: [email protected] > [mailto:[EMAIL PROTECTED] On Behalf Of intermilan04 > Sent: Wednesday, August 30, 2006 2:37 PM > To: [email protected] > Subject: [amibroker] Re: Backtest vs Forwardtest > > Hi dingo, > > Thank you for your prompt reply. > > 75% is really good, if I can snatch it. Often times I see > that number when I backtest, but it drops once I start > following my system... > > The past results are indeed too good to be true but my system > is not looking at future quotes. I guess it could be the > curve-fitting problem though, if 5 years of data isn't enough. > > I had tried with longer data range but what happened was this > system racked up 1900% and 3700% in 1999-2000 and 2000-2001, > which skewed my average CAR... > > Are there ways to avoid the curve-fitting issue other than > backtesting against longer data range? > > Regards, > > intermilan04 > > --- In [email protected], "dingo" <[EMAIL PROTECTED]> wrote: > > > > And 75% isn't good enough for you? > > > > And don't you think the past results just might be too good > to be true? > > > > And you checked your formula to see if it is looking into > the future? > > > > And if it isn't then it just could be so optimized that it > is "curve > > fitting". > > > > And without your code its hard to pinpoint what's going on.... > > > > d > > > > > -----Original Message----- > > > From: [email protected] > > > [mailto:[EMAIL PROTECTED] On Behalf Of intermilan04 > > > Sent: Wednesday, August 30, 2006 2:11 PM > > > To: [email protected] > > > Subject: [amibroker] Backtest vs Forwardtest > > > > > > Hi all, > > > > > > I'm having a puzzling situation where my backtest results are > > > fantastic yet my forwardtest result is nowhere near it. > > > > > > My system is optimized between 2001/1/1 and 2006/1/1. > > > Results YTD is "forwardtest" since it is beyond the scope of > > > optimized data range. > > > > > > Here are some numbers of backtests: > > > Year-by-year-results (CAR) > > > 2001/1/1-2002/1/1: 393.70% > > > 2002/1/1-2003/1/1: 232.64% > > > 2003/1/1-2004/1/1: 721.79% > > > 2004/1/1-2005/1/1: 400.82% > > > 2005/1/1-2006/1/1: 490.72% > > > > > > and at last--forwardtest > > > 2006/1/1-2006/8/29: 74.64% > > > > > > I am at a loss to explain this. It's very sad that I > work hard to > > > come up with a system that has worked, only to see it not working > > > nearly as good as it should be. > > > > > > Any analysis/suggestions to fix the problem above is greatly > > > appreciated. > > > > > > Sincerely, > > > > > > intermilan04 > > > > > > > > > > > > > > > > > > > > > > > > > > > Please note that this group is for discussion between users only. > > > > > > To get support from AmiBroker please send an e-mail directly to > > > SUPPORT {at} amibroker.com > > > > > > For other support material please check also: > > > http://www.amibroker.com/support.html > > > > > > > > > Yahoo! Groups Links > > > > > > > > > > > > > > > > > > > > > > > > > > > -- > > > No virus found in this incoming message. > > > Checked by AVG Free Edition. > > > Version: 7.1.405 / Virus Database: 268.11.7/433 - Release > > > Date: 8/30/2006 > > > > > > > > > > > > > > > > Please note that this group is for discussion between users only. > > To get support from AmiBroker please send an e-mail directly > to SUPPORT {at} amibroker.com > > For other support material please check also: > http://www.amibroker.com/support.html > > > Yahoo! Groups Links > > > > > > > -- > No virus found in this incoming message. > Checked by AVG Free Edition. > Version: 7.1.405 / Virus Database: 268.11.7/433 - Release > Date: 8/30/2006 > > Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
