Hi Duke,
I have minimum price and volume to avoid penny stocks
and
nobody-is-caring stocks...that's about it.
It could be that
the way I designed my system might be picking
small-cap stocks over large
ones more often, though. It is a long
system which tries to pick up in a
dip.
intermilan04
--- In [EMAIL PROTECTED]ps.com,
"Lists" <[EMAIL PROTECTED]> wrote:
>
> I will second Dingo's
comments about sample size. However, the other
factors to consider (aong
many) are what I call sample "segments." For
example if you have a size
bias built into your screening process
there will be times when your system
will produce above/below average
returns relative to longer historical
averages. An example of that is
a system who results have been focused in
the small cap space. We have
had 6+ straight years of small cap
out-performance - a period that
coincides with your backtest period ( the
last period was 1976-1982.)
You have now perhaps a transitory period where
both volatility and
rotation is affecting your current results.
>
> Just something to ponder....
>
> Regards,
>
> Duke Jones, CMT
>
>
> > -------Original
Message-------
> > From: dingo <[EMAIL PROTECTED]>
> >
Subject: RE: [amibroker] Re: Backtest vs Forwardtest
> > Sent: 30 Aug
'06 19:37
> >
> > 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]ps.com
>
> > [mailto:[EMAIL PROTECTED]ps.com]
On Behalf Of intermilan04
> > > Sent: Wednesday, August 30, 2006
2:37 PM
> > > To: [EMAIL PROTECTED]ps.com
>
> > 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]ps.com,
"dingo" <dingo@> 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]ps.com
>
> > > > [mailto:[EMAIL PROTECTED]ps.com]
On Behalf Of intermilan04
> > > > > Sent: Wednesday, August
30, 2006 2:11 PM
> > > > > To: [EMAIL PROTECTED]ps.com
>
> > > > 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
> > > > >
> > > >
>
> > > > >
> > > > >
> >
> > >
> > > > >
> > > > >
>
> > > >
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> > > > >
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>
> > >
> > >
> > >
> > >
>
> >
> > >
> > >
> > >
> >
> Please note that this group is for discussion between users only.
>
> >
> > > To get support from AmiBroker please send an
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> > > to SUPPORT {at} amibroker.com
> >
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> > > For other support material please check also:
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> > http://www.amibroker.com/support.html
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> >
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> >
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