Really?
> -----Original Message----- > From: [email protected] > [mailto:[EMAIL PROTECTED] On Behalf Of Fred > Sent: Wednesday, August 30, 2006 8:38 PM > To: [email protected] > Subject: [amibroker] Re: Backtest vs Forwardtest > > Robustness is a tough discussion to have as it can go many > different places ... > > In one of its simplest forms ( which is how I like to keep it > ) robustness is to at least some degree a function of the > robustness of the parameter values ( those you choose to > optimize AND most of those you believe for some reasons are > constants ). Looking at this from the view of the parameters > ... the less sensitive the parameters are the more robust > your system is likely to be ... > > With a two parameter system how sensitive the parameters are > can be seen by looking at the 3d charts that are part of > AmiBroker i.e. what happens to the performance metric you > have on the Z-axis as the parameter values change ... With > more than two parameters the process is a little more > difficult. One way to test the sensitivty of the existing > parameter values is to simultaneously test randomly generated > values for each of the parameters in the +/- n% range from > the values that you or optimization has picked. The output > will be a collecion of optimization lines or backtests if you > will that will demonstrate how sensitive your parameters are. > This is an automated feature of the shareware version of IO > i.e. to perform the random tests and plot the results in > histogram format. > > --- In [email protected], "dingo" <[EMAIL PROTECTED]> wrote: > > > > As far as "this is a whole another issue" - I seriously doubt > that's the > > case. Sounds like the same general problem to me. > > > > Download IO.zip and read thru the docs and see if any of that makes > sense to > > you... > > > > d > > > > > -----Original Message----- > > > From: [email protected] > > > [mailto:[EMAIL PROTECTED] On Behalf Of intermilan04 > > > Sent: Wednesday, August 30, 2006 7:32 PM > > > To: [email protected] > > > Subject: [amibroker] Re: Backtest vs Forwardtest > > > > > > 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 > > > > > > > > > > > > > > > > > > > > > > > > -- > > > 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! 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