you are right. It is weird. When I try, it actually happens for ALL zip-Files listed there!!!
On 11 Dez., 17:25, Astor <[email protected]> wrote: > Yes. It does display the JBookTrader-my.zip, but once clicked, it display the > message that the page does not exist. I'll look for patch.txt > > ________________________________ > From: Klaus <[email protected]> > To: JBookTrader <[email protected]> > Sent: Sat, December 11, 2010 7:37:29 AM > Subject: [JBookTrader] Re: Dynamic Parameter Optimization > > Hi, > > I just checked, it is there: > go to files; sort them by date of upload and you find: JBookTrader- > my.zip > close to the top. > This is the recent one. > > alternatively you can find patch.txt > this is an older version. > > Klaus > > PS alternatively you can sort by name of uploader and then you see it > if you look for Klaus > > On 11 Dez., 03:21, Alexana <[email protected]> wrote: > > > > > > > > > Klaus, I tried to look at the file you had posted, but seems the page > > is not there. Can you repost? > > > On Dec 10, 9:22 am, Klaus <[email protected]> wrote: > > > > it is online in the group file repository. > > > > Klaus > > > > On 10 Dez., 14:37, Astor <[email protected]> wrote:> Thanks Klaus! I > > > look > >forward to seeing it. > > > > > ________________________________ > > > > From: Klaus <[email protected]> > > > > To: JBookTrader <[email protected]> > > > > Sent: Fri, December 10, 2010 3:55:37 AM > > > > Subject: [JBookTrader] Re: Dynamic Parameter Optimization > > > > > Dear Astor, > > > > > I posted it earlier for a previous JBT version. > > > > I will upload a version for the current JBT in a few moments, This is > > > > an excerpt of my production code, but note that I modified it somewhat > > > > to > > > > ignore certain error conditions (missing volume values and wrongly > > > > ordered dates). > > > > > Cheers > > > > Klaus > > > > > On 8 Dez., 21:53, Astor <[email protected]> wrote: > > > > > > Thanks Klaus. Exellent description. Can you post your JBT extension > > > > > for > > > > > backtests? I would love to incorporate that into my program. > > > > > > ________________________________ > > > > > From: Klaus <[email protected]> > > > > > To: JBookTrader <[email protected]> > > > > > Sent: Wed, December 8, 2010 2:48:13 PM > > > > > Subject: [JBookTrader] Re: Dynamic Parameter Optimization > > > > > > use of-out-of sample data is a must in all machine learning approaches > > > > > (and this is actually what we do here). > > > > > (So, yes i also take the approach, this is actually the reason why I > > > > > built JBT extension for batches of backtests.) > > > > > > Perhaps it can be better understood if looks at the danger of > > > > > presenting all the data. > > > > > What can happen is that the strategy (and actually JBT does not > > > > > support learning of parameters, but only of parameter settings) > > > > > that is generated is sort of memorizing the presented data.. and then > > > > > provides good results there, but not beyond. > > > > > The result does not generalize to further data. > > > > > > It is like with people, if you really want someone to understand > > > > > something, you will teach him (presenting examples > > > > > is one approach for teaching). But at the end you want to know whether > > > > > he really understood (i.e., got the principles > > > > > and is able to use them to solve knew problems) or whether he just > > > > > memorized. The only way to find this out is to show him s.th. he has > > > > > not seen before... > > > > > That is what use of out-of-sample means. Simulated forward-Trading is > > > > > another way to achieve the same result, but then you are doing it in > > > > > real time (i.e., need weeks), but if you have more data, you can do > > > > > this simply in minutes with testing.. > > > > > > On 8 Dez., 15:15, Astor <[email protected]> wrote: > > > > > > > >people do a lot of silly things. A lot of them agree on these > > > > > > silly > > > > things > > > > > > > > > > > > True enough. This thing, though, has been the subject of so much > >academic > > > > > > research that it is probably not one of them. Of course, just like > > > > > > you, everybody wants to use as much data as possible for model > >optimization, > > > > > so > > > > > > a technique called "bootstrapping" is used, which is similar to > >walk-forward > > > > > > optimization that I was proposing. > > > > > > > ________________________________ > > > > > > From: ShaggsTheStud <[email protected]> > > > > > > To: [email protected] > > > > > > Sent: Tue, December 7, 2010 11:13:26 PM > > > > > > Subject: Re: [JBookTrader] Re: Dynamic Parameter Optimization > > > > > > > I dunno, people do a lot of silly things. A lot of them agree on > these > > > > silly > > > > > > things. > > > > > > > If you had extra data, why would you not use it to see the > > > > > > sensitivity > >of > > > > >your > > > > > > parameters? > > > > > > > On Tue, Dec 7, 2010 at 8:34 PM, Astor <[email protected]> wrote: > > > > > > > Shaggs, I wish I could claim credit for this approach but it is not > > > > > > my > > > > > >approach. > > > > > > It is a standard statistical methodology used by every professional > >Quant > > > > > shop, > > > > > > without exceptions. In institutional settings, you could never get > > > > > > any > > > > > strategy > > > > > > past the Investment Committee without presenting strong > > > > > > out-of-sample > > > > >results. > > > > > > > >This is not to say that sensitivity to parameter changes, > > > > > > >robustness > > > > checks, > > > > > > >etc need not be done. They still need to be done on in-sample > > > > > > >data. > > > > > > > ________________________________ > > > > > > From: ShaggsTheStud <[email protected]> > > > > > > > >To: [email protected] > > > > > > >Sent: Tue, December 7, 2010 8:53:49 PM > > > > > > > >Subject: Re: [JBookTrader] Re: Dynamic Parameter Optimization > > > > > > > >So the difference between our approaches is that in your approach > > > > > > >you > >look > > > > >at > > > > > > >the 1 "optimal" case, and then you try it on some other set of data > to > > > > >verify > > > > > > >it. Ok, that is interesting. > > > > > > > >I much prefer to have one set of data, and look at the optimization > >map, > > > > and > > > > > > >view the sensitivities to changes in the parameters. A robust > >strategy > > > > will > > > > > >not > > > > > > >be a picking out small "local minimums", it will have a wide > > > > > > >plateau > >of > > > > > > >profitibility, and have good distribution on the trades graph where > >there > > > > >are > > > > > > >not large periods of drawdown. > > > > > > > >I think my method is more robust, and would yield better real world > > > > > >performance > > > > > > >than your method, but I can't prove it. > > > > > > > >On Tue, Dec 7, 2010 at 5:52 PM, Astor <[email protected]> wrote: > > > > > > > >>No, you do not do the same thing on both sets. You optimize > > > > > > >>and test > > > > > >different > > > > > > >>models on in-sample set only. You can do it as much as is > > > > > > >>necessary > >to get > > > > > >good > > > > > > >>results. You test only the final model on your out-of-sample and > > > > > > >>you > >can > > > > >not > > > > > > >>change the model or re-optimize parameters and re-test on > > > > > > >>out-of-sample. Out-of-sample is like virginity, - once used it is > >gone. > > > > > > > >>Results from out-of-sample is what you expect to get in real > trading. > > > > > > > ________________________________ > > > > > > From: ShaggsTheStud <[email protected]> > > > > > > > >>To: [email protected] > > > > > > >>Sent: Tue, December 7, 2010 7:01:03 PM > > > > > > > >>Subject: Re: [JBookTrader] Re: Dynamic Parameter Optimization > > > > > > > >>Doing the same thing on two different sets of data seems identical > to > > > > doing > > > > > >it > > > > > > >>on one combined set of data. How is it different? > > > > > > > >>On Tue, Dec 7, 2010 at 4:14 AM, Astor <[email protected]> > > > > > > >>wrote: > > > > > > > >>The "in-sample" set is where you develop your model and optimize > your > > > > > > >>parameters. Because optimization searches through a very large > > > > > > >>number > >of > > > > > > >>possible parameter values, it finds those values which best fit > > > > > > >>the > >datain > > > > > >this > > > > > > >>set. In a different data set, such as the one that may occur in > > > > > > >>real > > > > > trading, > > > > > > >>these parameters may prove perfectly useless. In Quant research, > such > > > > > >situation > > > > > > >>is (derogatively) referred to as "datamining" or overfitting. With > >enough > > > > > >model > > > > > > >>parameters and extensive optimization, I can get perfect accuracy > > > > > > >>predicting "in-sample" lottery winners. Of course that model will > > > > > > >>not > >work > > > > > to > > > > > > >>predict next, "out-of-sample", lottery winner. > > > > > > > >>>The "out-of-sample" set is a way to verify that the found model > > > > > > >>>and > >its > > > > > > >>>parameters are general instead of unique to the "in-sample" > >development > > > > > set. > > > > > > >>>Combining the two sets into a single set defeats that purpose. > > > > > > > ________________________________ > > > > > > From: ShaggsTheStud <[email protected]> > > > > > > > >>>To: [email protected] > > > > > > >>>Sent: Mon, December 6, 2010 10:21:59 PM > > > > > > >>>Subject: Re: [JBookTrader] Re: Dynamic Parameter Optimization > > > > > > > >>>That whole "in sample" and "out of sample" data thing strikes me > >very as > > > > > >very > > > > > > >>>odd. If it works on the in-sample and not the out-sample, its > > > > > > >>>going > >to > > > > >have > > > > > >a > > > > > > >>>bad distribution as a single set, so why not just combine it? > > > > > > > >>>On Sun, Dec 5, 2010 at 5:56 AM, Astor <[email protected]> > > > > > > >>>wrote: > > > > > > > >>>> we would > > > > > > >>>>>be required to significantly shorten our optimization periods, > >thus > > > > > > >>>>>incurring a penalty of standard error in our confidence bands. > > > > > > > >>>>I understand your concern Eugene. However, it is important to > >recognize > > > > > >that > > > > > > >>>>in strategy development and validation there are two sets of > > > > > > >>>>data > >and > > > > two > > > > > >sets > > > > > > >>>>of confidence bands. First set is used for strategy development > >and > > > > > >parameter > > > > > > >>>>optimization and is often called "in-sample". The second set is > >used > > > > only > > > > > >to > > > > > > >>>>validate the strategy > > ... > > Erfahren Sie mehr » -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
