Hello Drew, Thanks. Looking forward to your follow up.
For me, things got curiouser and curiouser when Mr Aronson's treatise on *Detecting Data Mining Bias* called for *out of sample* testing. However, I will reserve comment until after I read the book ( a few weeks delivery to my locale). I think we should do everything in our power to disprove the OOS/walk- forward hypothesis. There are only two possible outcomes; prove it wrong enough by finding something better or prove it correct enough by failure to do so. For the benefit of the nervous, I am not going to leave one wobbly hypothesis for an even wobblier one. We could also positively reshape the objective to comfort the OOS faithful: *That our IS analysis is so good that every time we submit an IS accepted system to OOS testing it passes*. BrianB2 *:-) --- In [email protected], "thomasdrewyallop" <[EMAIL PROTECTED]> wrote: > > Hello all, > > I have been working on the MCP technique described in Aronson's book > for some time now. I have just completed conversion of the C++ code on > the web site to C# plus some associated utlities to massage AB data > into the required format yet. No test yet; I will update under this > thread. > > A few words on the theoretical underpinnings. There has been new > information since the book was published and the code written. I > believe an update is in the works. Also you need to be cautious when > running MCP on IS data. This is only valid under certain conditions. > Otherwise you must run OOS. I had an email from Aronson explaining all > this but can't find it. You might want to contact David directly - a > good guy and willing to talk with readers. > > Finally, I would not reject walk forward. A very useful technique > despite Aronson's reservations. Well integrated with AB too via Fred > Tonetti's IO add-in. > > Best regards, > > Drew Yallop > > p.s. just remebered that there is discussion on MCP as a possible > future addition to AB. Look in the AB suggestions section of the web site. >
