If re-optimizing is the way you want to go, by all means have at it.:) JMO, but a better approach is to find a repeating, consistent market behavior, model it, and only then apply optimization to get the most out of it. I'm sort of a Luddite, though, so don't go by me.:)))
Luck, Sebastian --- In [email protected], "intermilan04" <[EMAIL PROTECTED]> wrote: > > Hi Sebastian, > > "you can't really know that your system has "broken down" until you > get the final results on January 1, 2007.:)" > > Very true. I do not think my system has "broken down," it's just that > it is underperforming at a dreadful level compared to how it had been. > > As for data range, I also stated it in reply to dingo but for some > reason this system just rips apart 1999-2000 and 2000-2001 (1900% and > 3700% CARs respectively) that I thought it was better to omit the two > years and test after the dot-com bust. (yeah, 2000-2001 is technically > including the bust but the system performs surprisingly well) > > I will once again optimize with 10 years of data and see how it goes. > > Thank you for your reply, > > intermilan04 > > --- In [email protected], "sebastiandanconia" > <sebastiandanconia@> wrote: > > > > Without knowing any more about your method (and I'm not asking), maybe > > there's nothing wrong and your system's performance is simply an > > accurate reflection of market action during those times? > > > > From Jan.-Jan. in all those years there was a substantial movement > > (either up or down) in the overall stock market. Since January of > > this year, though, the markets have scarcely gone anywhere by > comparison. > > > > So, two things: First, the obvious one, you can't really know that > > your system has "broken down" until you get the final results on > > January 1, 2007.:) > > > > Second, if you believe that your system is based on actual market > > behaviors (not just randomly optimized) maybe it's working properly > > and this is just one of those years when nothing much happens. Which > > is why I believe that 8-10 years is pretty much the minimum necessary > > for an honest track record/backtest, rant, rant.:) This may be a > > totally valid "performance lull" period for a system that is stellar > > most of the time. > > > > > > Luck, > > > > Sebastian > > > > --- In [email protected], "intermilan04" <intermilan04@> wrote: > > > > > > 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 <*> 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/
