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 ? > > >>> > > >> > > > 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 other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/