Dennis, I suppose you have a good point there. It's very disappointing to design something and see future not holding so well. I do not remove stocks to fit my rules though, as I see it pointless, even dangerous to do.
--- In [email protected], Dennis Brown <[EMAIL PROTECTED]> wrote: > > intermilan, > > Backtest optimization is like that. > Given any set of stocks and timeframe, and a few indicators, I can > optimize the performance (avoiding the losses due to temporary sharp > changes in price due to news events), getting out at the peaks and > valleys statistically most of the time (or even cheating and removing > stocks that do not follow my rules). However, the future conditions > are not the same and the results are worse. It is just the nature of > 20/20 hindsight. And of course, let's not forget the self inflicted > loses when the system does not meet expectations with a few loses, so > you lose confidence and start to second guess the system with trades > that are even worse than the system. > > Backtesting should be more for finding systems that are not sensitive > to fairly large changes in parameters, and various market > conditions. I am more interested in that side of things these days. > > Dennis > > On Aug 30, 2006, at 7:32 PM, intermilan04 wrote: > > > I wish I was making 75% up to now :-) > > The 75% is the result of my system which is optimized between > > 2001-2006. Since I'm always trying to improve my system, I don't > > necessarily have traded with the system verbatim from 2006/1/1. > > > > Now I am having an issue where as soon as I start using a system its > > performance drops :-D but this is a whole another issue so I didn't > > mention about it here. > > > > intermilan04 > > > > --- In [email protected], "sebastiandanconia" > > <sebastiandanconia@> wrote: > >> > >> Nope, I just meant that he measured all the other years from > >> Jan.1-Jan.1, so he's not comparing apples to apples by looking at YTD > >> performance. We're coming into a time of year when there are > >> typically major drops followed by major rallies, so if his system > >> captures that behavior it could make up for its miserable 75% profit > >> up until now.:) > >> > >> I hear you about real DD's that exceed that of tested methods. > >> That's > >> why I think it's so important to understand why a system works, > >> beyond > >> simply the fact that it's tested-out well, which could just be a > >> mathematical coincidence, a meaningless correlation without any > >> cause-and-effect relationship. > >> > >> > >> Luck, > >> > >> Sebastian > >> > >> --- In [email protected], "Fred" <ftonetti@> wrote: > >>> > >>> "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.:)" > >>> > >>> Really ? ... You mean there is no point at which real DD's exceed > >>> previous experience you wouldn't think that system is broken ? > >>> > >> > 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/
