See Monte.doc in Files for a good discussion of many of the issues discussed in this thread.
DY --- In amibroker@yahoogroups.com, "brian.z123" <[EMAIL PROTECTED]> wrote: > > Yes, I agree with that. > > I'm not a masochist. > I sleep in a water bed and not on the floor so I can't be derogatory > about comfort. > > It is just in my nature to explore the truth and take that to the > max; for the sake of knowing. > > Truth; it's a beautiful thing. > > > After that I feel weak if I don't live by it. > Still I haven't had the guts to trade without OOS so far so my > comments are hypothetical . > > > BrianB2. > > --- In amibroker@yahoogroups.com, "Fred" <ftonetti@> wrote: > > > > Isn't that what the psychology of trading is about ? ... Having as > > many comfort blankets as possible ? ... Without them one in this > case > > will typically suffer from one of two things, inability to pull > the > > trigger or unexpected losses after which one will suffer from the > > former ... IMHO it is best to have a pretty good idea what to > expect > > OOS before one trys it using real money. Anyone who doesn't want > to > > take the trouble can look at their IS performance metrics and take > > half the CAR and double the DD's and HOPE their OOS experience is > > that good ... > > > > --- In amibroker@yahoogroups.com, "brian.z123" <brian.z123@> wrote: > > > > > > O.K > > > > > > I am not disagreeing on the value of OOS/WF testing in practise. > > > Theoretically though, if we push the boudaries, it is only a > > comfort > > > blanket. > > > > > > I will attempt to defend that position, as an interesting point, > in > > > my next two posts. > > > > > > I would remind our younger viewers not to attempt this at home. > > > > > > BrianB2. > > > > > > --- In amibroker@yahoogroups.com, "quanttrader714" > > > <quanttrader714@> wrote: > > > > > > > > I'd rephrase the question to, what method or methods will tell > us > > > how > > > > the system is likely to perform *when traded in real time*? > Short > > > > answer IMO is OOS testing and analysis. > > > > > > > > P.S. MCS not a crystal ball or magic. It's just a tool that > uses > > > > brute force to estimate what is difficult or impossible to > > > calculate > > > > otherwise and garbage in, garbage out definitely applies. > > > > > > > > --- In amibroker@yahoogroups.com, "brian.z123" <brian.z123@> > > wrote: > > > > > > > > > > Hello Fred, > > > > > > > > > > Precisely. > > > > > > > > > > I'm not going crazy after-all! > > > > > > > > > > What method or methods will tell us how the system is likely > to > > > > > perform out of sample; since in the end system trading is > > > nothing > > > > > but a perpetual walk forward test? > > > > > > > > > > BrianB2. > > > > > > > > > > --- In amibroker@yahoogroups.com, "Fred" <ftonetti@> wrote: > > > > > > > > > > > > While MCS is a good tool for validating some things it is > not > > > a > > > > > > substitute for out of sample and/or walk forward > testing ... > > > If > > > > > for > > > > > > example I: > > > > > > > > > > > > - Write a system > > > > > > - Test it to make sure the rules are working as intended > > > > > > - Optimize the variables to have the system produce the > best > > > > > results > > > > > > it can based on some metric or metrics within the confines > of > > > the > > > > > > rules > > > > > > - Use an MCS on the trades that are generated > > > > > > > > > > > > This tells me nothing about how the system is likely to > > > perform > > > > > out > > > > > > of sample. It only tells me about the statistics related > to > > > the > > > > > > optimized rules of the system which are the result of > > > scrambling > > > > > the > > > > > > order of the trades that resulted from using the same in > > > sample > > > > > data > > > > > > that system was optimized on. > > > > > > > > > > > > > > > >