Registered: Jul 2008
03-09-12 03:08 AM
I wanted to thank you all for your constructive feedback ... at this time I have busied myself reviewing the differences between timeframes (V180 / V200 / V220 ... I added V100), which are essentially coming near the thresholds for pivots identification ... varying the timeframe sometimes changes the number of bars to the right or left of a pivot, making it appear or disappear "randomly" (I witnessed one pivot, present on the V200, but missing on both V180 & V220 for that very reason).
There isn't much I can do about it, I have started migrating to V100 which will provide a tiny bit more resolution.
All settings adjusted to have as similar thresholds to the V200 as possible, avg/trade varies from 76% on the V180 to 94% to V100, through 85% for the V220 (those % are in reference to the V200 avg/trade). Again I agree it is highly probable there is some over-optimization, as the original timeframe used for the system development has clearly the best performance. With that said, there is also likely an edge in the system, not as big as the V200 performance would indicate, but I am thinking 75% of that ...
I will redo the drawdown analysis using 75% & 50% of the original performance.
I used the boostrap util from the link TD80 provided (thanks!), the p-value returned using the entire backtesting distribution (normalized to %) is 0 (zero), where for the entire drawdown period it is 0.39 ... not sure what to do with that. But the Aronson book just arrived today (I had ordered it a couple weeks ago), may be after reading it I'll have better ideas on this topic.
I also realize I need to change trading platform for one better suited to system development & backtesting (currently using Ensign) ... but given the amount of work involved, my current line of thinking is to finish this system on Ensign, then take some time to select a new platform & get up to speed on it.