In sample is always bad to rely on. But how do you define out of sample? If you are backtesting one symbol with intraday data and less than 100 trades per year, do you start with the oldest year and optimize, then test out of sample the newer years? Or do you start with the best perfoemong years, hoping that it improves the worst performing years? Or do you test all years and then verify by using another symbol as out of sample?
-----Original Message----- From: Howard B <[email protected]> Date: Wed, 6 Jan 2010 14:30:45 To: <[email protected]> Subject: Re: [amibroker] Optimizing Hi Markus -- The characteristics of a desirable trading system are yours to decide. Whether you want to focus on trend following systems, on mean reversion systems, on pattern systems, statistical systems, or whatever else is completely up to you. I meant no criticism. My suggestion about allowing the relationship between the two moving average lengths was simply to point out that what was originally thought of as a trend following system might transform itself into a mean reversion system under some circumstances. As always -- do your own research, including in-sample testing and out-of-sample validation. Walk forward testing is extremely valuable. In-sample results are always good and have no value in estimating future performance of a system. Thanks, Howard
