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trader3cnd wrote:
> I read a paper about backtesting flaws and I am really concerned
> since one of the programs my partner and I have been using for
> several years is Metastock and it appears it is one of the programs
> shown to have flaws in that paper.
>
> Does anyone know anything about those particular flaws/bugs discussed
> in the paper and in which versions of Metastock were they present?
I'm not aware that Metastock had or still has the problems cited in the
Harris paper. I have independently (but not extensively) checked the results
of Metastock trade simulations. They're quite good.
On the other hand you are wise to be wary. For instance, there is
significant uncertainty in applying an optimized investment system derived
in Metastock and elsewhere to a live market. You stand a good chance that
your investment rules are overoptimized. My Genetic System Search for
Technical Analysis program introduces factors to minimize bad curve fitting.
If I disable the standard deviation, parsimony and consecutive loss factors,
the resulting formulas are distinctly different and possibly brittle. The
investment system may not be profitable when presented with new data.
(http://www.gssta.com/background.php)
Take superfragalist's comments to heart.
--
Charles Brockman
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