|
PureBytes Links
Trading Reference Links
|
--- In equismetastock@xxxxxxxxxxxxxxx, "erc90" <erc90@xxx> wrote:
>
> How do I test the likelihood that a system will repeat itself in
the
> future? Moreover, how can I identify when a successful system
begins
> to fail and breakdown? To find the answer to these two questions,
one
> must understand basic inferential statistics. I however have hit a
> brick wall in my analysis.
>
> Does anyone have experience using t-tests to improve the likelihood
> that a system will be successful in the future?
>
> I've moved beyond trying to optimize my system for total returns.
I'm
> now trying to optimize my system so that it has a high chance for
> success.
>
> I would appreciate any suggestions one might provide!
>
> Eric
>
Eric,
To see whether a system will be profitable in the future, it is
important to keep data aside when doing testing and optimisations,
and leave this data (preferably more recent data) as an out-of-sample
data for walk forward analysis.
Robert Pardo's Design, Testing, and Optimisation of Trading Systems
is one of the best books Iv read on systems development.
See the earliest post in my blog for more details:
http://thetrendfollower.blogspot.com/
Regards,
Nizar.
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/equismetastock/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/equismetastock/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:equismetastock-digest@xxxxxxxxxxxxxxx
mailto:equismetastock-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
equismetastock-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|