Hello DY, Gee, that's an old one. I have been trying to hide it in the broom cupboard.
Thanks for the lead, I haven't read that file. I am making stats/system evaluaion my area of specialisation (make your weakness your strength) so I am always keen to pickup anything I can. I have a backlist of books/leads to follow from Grant/PSVanS and QuantTrader but I am still looking for the no 1 Quant author or thinker. BrianB2. --- In [email protected], "thomasdrewyallop" <[EMAIL PROTECTED]> wrote: > > See Monte.doc in Files for a good discussion of many of the issues > discussed in this thread. > > DY > > > --- In [email protected], "brian.z123" <brian.z123@> wrote: > > > > Yes, I agree with that. > > > > I'm not a masochist. > > I sleep in a water bed and not on the floor so I can't be derogatory > > about comfort. > > > > It is just in my nature to explore the truth and take that to the > > max; for the sake of knowing. > > > > Truth; it's a beautiful thing. > > > > > > After that I feel weak if I don't live by it. > > Still I haven't had the guts to trade without OOS so far so my > > comments are hypothetical . > > > > > > BrianB2. > > > > --- In [email protected], "Fred" <ftonetti@> wrote: > > > > > > Isn't that what the psychology of trading is about ? ... Having as > > > many comfort blankets as possible ? ... Without them one in this > > case > > > will typically suffer from one of two things, inability to pull > > the > > > trigger or unexpected losses after which one will suffer from the > > > former ... IMHO it is best to have a pretty good idea what to > > expect > > > OOS before one trys it using real money. Anyone who doesn't want > > to > > > take the trouble can look at their IS performance metrics and take > > > half the CAR and double the DD's and HOPE their OOS experience is > > > that good ... > > > > > > --- In [email protected], "brian.z123" <brian.z123@> wrote: > > > > > > > > O.K > > > > > > > > I am not disagreeing on the value of OOS/WF testing in practise. > > > > Theoretically though, if we push the boudaries, it is only a > > > comfort > > > > blanket. > > > > > > > > I will attempt to defend that position, as an interesting point, > > in > > > > my next two posts. > > > > > > > > I would remind our younger viewers not to attempt this at home. > > > > > > > > BrianB2. > > > > > > > > --- In [email protected], "quanttrader714" > > > > <quanttrader714@> wrote: > > > > > > > > > > I'd rephrase the question to, what method or methods will tell > > us > > > > how > > > > > the system is likely to perform *when traded in real time*? > > Short > > > > > answer IMO is OOS testing and analysis. > > > > > > > > > > P.S. MCS not a crystal ball or magic. It's just a tool that > > uses > > > > > brute force to estimate what is difficult or impossible to > > > > calculate > > > > > otherwise and garbage in, garbage out definitely applies. > > > > > > > > > > --- In [email protected], "brian.z123" <brian.z123@> > > > wrote: > > > > > > > > > > > > Hello Fred, > > > > > > > > > > > > Precisely. > > > > > > > > > > > > I'm not going crazy after-all! > > > > > > > > > > > > What method or methods will tell us how the system is likely > > to > > > > > > perform out of sample; since in the end system trading is > > > > nothing > > > > > > but a perpetual walk forward test? > > > > > > > > > > > > BrianB2. > > > > > > > > > > > > --- In [email protected], "Fred" <ftonetti@> wrote: > > > > > > > > > > > > > > While MCS is a good tool for validating some things it is > > not > > > > a > > > > > > > substitute for out of sample and/or walk forward > > testing ... > > > > If > > > > > > for > > > > > > > example I: > > > > > > > > > > > > > > - Write a system > > > > > > > - Test it to make sure the rules are working as intended > > > > > > > - Optimize the variables to have the system produce the > > best > > > > > > results > > > > > > > it can based on some metric or metrics within the confines > > of > > > > the > > > > > > > rules > > > > > > > - Use an MCS on the trades that are generated > > > > > > > > > > > > > > This tells me nothing about how the system is likely to > > > > perform > > > > > > out > > > > > > > of sample. It only tells me about the statistics related > > to > > > > the > > > > > > > optimized rules of the system which are the result of > > > > scrambling > > > > > > the > > > > > > > order of the trades that resulted from using the same in > > > > sample > > > > > > data > > > > > > > that system was optimized on. > > > > > > > > > > > > > > > > > > > > > >
