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At 10:26 PM 6/30/01 -0600, you wrote:
>> Sounds like you are analyzing opts, care to share your approach?
>That's very impressive work! I'm sure it's time consuming as well.
Not too much work: about 15 minutes/chart. I go the idea from the article
"Are your profits robust?", April TASC, by Steve Notis.
>I am essentially taking the same approach when I use the optimizations
>feature in Metastock. I want to plot the results of all of the tests so
>that I can visually evaluate the response across parameters.
>
>When I'm building a system, I like to take it in pieces. That is, I'll look
>at just the entry logic, and use the optiimizer to evaluate the close of the
>next five or ten bars. My preferred market is the S&P500 Index Futures, so
>it's also useful to compare this with the same process based on a random
>entry. I always want to make sure I have plenty of bars in my test, so that
>I have lots of data for statistical significance in my results.
Good point. I should do more disassembly :-) I only do my analysis
separately for short and Long, and in addition I evaluate each signal
(indicator) I think of using indivually by placing it, without any
trimmings, in a simple trading system. I then use the %Gains to rate the
indicator wrt significance/relevance.
I will start playing with entry and exit points. I could use opts to move
the points about and then try to find out the lead/lag of my system wrt max
profits. Thanks for the idea.
Take care,
Herman.
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