If you use more conditions, then expect you have less trading opportunities and some curve fitting. You need to get a balance of all the related parameters.
_____ From: [email protected] [mailto:[EMAIL PROTECTED] On Behalf Of Ara Kaloustian Sent: Sunday, August 05, 2007 12:18 AM To: [email protected] Subject: Re: [amibroker] Trading system development question To reduce the number of candidates you need to make your conditions more stringent ... and hopefully it will also improve your % wins. ----- Original Message ----- From: "polomorabe" <[EMAIL PROTECTED] <mailto:paul.moore%40pandora.be> be> To: <[EMAIL PROTECTED] <mailto:amibroker%40yahoogroups.com> ps.com> Sent: Saturday, August 04, 2007 8:58 AM Subject: [amibroker] Trading system development question > Hello, > > I've been following the postings on this forum since I first began > using AB about two years ago, and thanks to the knowledge and sharing > mentality of the posters here, my knowledge of AFL has increased > greatly. I now have a question about trading system development. > > I've been getting experience with using the backtester, and I've > identified some promising trading systems, one with a CAR of over > 100%! During the backtest, I have limited the number of positions in > the portfolio to 7, to reduce overtrading. However, when I take the > same system from backtesting, and use it as an exploration, I get a > huge number (>200) of trading candidates at the start of each trading > day. > > My question is: without asking for details of specific trading > systems, how do other users of AB reduce the number of stock > candidates during the Exploration? During backtesting, I've found that > when I try to constrain the backtester to attempt to reduce the number > of candidates, it reduces the number of backtested trades but also the > percentage of winning trades. > > Maybe this is wishful thinking, but for me a winning system is one > that has a winning trades percentage > 50%, with a max system drawdown >> 15%, and generating about 10 stock candidates per day. > > I'd be interested to hear of other's experiences and views. > > Many thanks, > Paul > > > > 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > http://www.amibroke <http://www.amibroker.com/devlog/> r.com/devlog/ > > For other support material please check also: > http://www.amibroke <http://www.amibroker.com/support.html> r.com/support.html > > Yahoo! Groups Links > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > __________ NOD32 2437 (20070803) Information __________ This message was checked by NOD32 antivirus system. http://www.eset.com
