--- In [email protected], "Howard B" <[EMAIL PROTECTED]> wrote: > > Hi Rich -- > > Do I understand correctly --- the RAR remains about the same for many runs, > each of which had some random noise added to the input price data? > > If so, that is generally a good sign -- your system is recognizing and > giving buy and sell based on the signal portion of the data, as you asked it > to, rather than the noise portion. > > As always, be sure to perform tests on out-of-sample data that was not used > to develop the model. > > Thanks, > Howard > Howard,
Yes, there's 40 runs taking the noise weighting from 0 - 1. And the RAR is hardly affected (other than scatter). But the number of trades (exposure) drops of drastically - which I'd expect......I think? The RAR when performed in sample is about 150%, this drops to between 75 and 100% OOS. This again remains consistent as it walks forward - so there is drop off there but the figure still seems good - again it's understanding the context - how much drop of is expected (or should I ask how long is a piece of string)? Your input is greatly appreciated - sadly I don't have a lot to offer in return (other than another book order...:-) but surely others will also benefit from your replies. Thanks again, Rich
