Intermilan,
It may be disappointing but it is also to be expected ... ergo the
reason for out of smaple testing without which one has not much of a
clue as to how one's system will perform with real money.
Personally I view backtesting and original optimization as a station
about mid way in the process between system development and having
one that you'd actually trade.
--- In amibroker@yahoogroups.com, "intermilan04" <[EMAIL PROTECTED]>
wrote:
>
> Dennis,
>
> I suppose you have a good point there. It's very disappointing to
> design something and see future not holding so well. I do not
remove
> stocks to fit my rules though, as I see it pointless, even dangerous
> to do.
>
> --- In amibroker@yahoogroups.com, Dennis Brown <see3d@> wrote:
> >
> > intermilan,
> >
> > Backtest optimization is like that.
> > Given any set of stocks and timeframe, and a few indicators, I
can
> > optimize the performance (avoiding the losses due to temporary
sharp
> > changes in price due to news events), getting out at the peaks
and
> > valleys statistically most of the time (or even cheating and
removing
> > stocks that do not follow my rules). However, the future
conditions
> > are not the same and the results are worse. It is just the
nature of
> > 20/20 hindsight. And of course, let's not forget the self
inflicted
> > loses when the system does not meet expectations with a few
loses, so
> > you lose confidence and start to second guess the system with
trades
> > that are even worse than the system.
> >
> > Backtesting should be more for finding systems that are not
sensitive
> > to fairly large changes in parameters, and various market
> > conditions. I am more interested in that side of things these
days.
> >
> > Dennis
> >
> > On Aug 30, 2006, at 7:32 PM, intermilan04 wrote:
> >
> > > I wish I was making 75% up to now :-)
> > > The 75% is the result of my system which is optimized between
> > > 2001-2006. Since I'm always trying to improve my system, I
don't
> > > necessarily have traded with the system verbatim from 2006/1/1.
> > >
> > > Now I am having an issue where as soon as I start using a
system its
> > > performance drops :-D but this is a whole another issue so I
didn't
> > > mention about it here.
> > >
> > > intermilan04
> > >
> > > --- In amibroker@yahoogroups.com, "sebastiandanconia"
> > > <sebastiandanconia@> wrote:
> > >>
> > >> Nope, I just meant that he measured all the other years from
> > >> Jan.1-Jan.1, so he's not comparing apples to apples by looking
at YTD
> > >> performance. We're coming into a time of year when there are
> > >> typically major drops followed by major rallies, so if his
system
> > >> captures that behavior it could make up for its miserable 75%
profit
> > >> up until now.:)
> > >>
> > >> I hear you about real DD's that exceed that of tested
methods.
> > >> That's
> > >> why I think it's so important to understand why a system
works,
> > >> beyond
> > >> simply the fact that it's tested-out well, which could just be
a
> > >> mathematical coincidence, a meaningless correlation without any
> > >> cause-and-effect relationship.
> > >>
> > >>
> > >> Luck,
> > >>
> > >> Sebastian
> > >>
> > >> --- In amibroker@yahoogroups.com, "Fred" <ftonetti@> wrote:
> > >>>
> > >>> "So, two things: First, the obvious one, you can't really
know that
> > >>> your system has "broken down" until you get the final results
on
> > >>> January 1, 2007.:)"
> > >>>
> > >>> Really ? ... You mean there is no point at which real DD's
exceed
> > >>> previous experience you wouldn't think that system is broken ?
> > >>>
> > >>
> >
>
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