Discussion in 'Automated Trading' started by Dobbes, Mar 23, 2009.

  1. Dobbes


    What is the general opinion on using filters in simple technical systems? Do they add value in general, or are they just another source of curve-fitting?
  2. FaceOff


    Anything which stops you entering trades is actually reducing your sample-size in back-testing, which will lead to curve-fitting. So to test if filters are working, use walk-forward testing.
  3. Dobbes


    Did not consider that, valid point. Thanks.
  4. zzt


    Adding filters is just adding parameters to your model/trading method. So yes, you are curve fitting if you add multiple filters
  5. jprad


    Agree, to a point.

    Switching a fairly simple trading system on or off based on it's equity curve can lead to a more robust result than adding additional filters directly to the system's trading rules.

    Like anything else though, YMMV...
  6. Dobbes


    Without more specifics, my mileage is zero :-/

    I assume you'd turn it on when the equity curve is showing a good ol' 45 degree climb and off when it hits an account balance trailing stop?
  7. If the performance is increased without decreasing the statistical significance of the results you may have something there.