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How far back is enough for a backtest?

Discussion in 'Strategy Building' started by markc, Apr 30, 2004.

ElectricSavant
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yeah, they move together.

Michael B.

Quote from nitro:

Here is the sort of example of the kind of abstraction I am talking about.

The "argument" may go something like this:

First assumptions: APT describes the market at the high frequency, that is, arbitrageurs instantly bring price aberrations back inline thru arbitrage.

Now "Theorem":

Given APT, no moving average crossover system that has as it's inputs lengths two twin primes (primes that differ by 2), where the time frame of the bars used to calculate the MAs are less than the product of the two primes - 1 (in ticks, minutes, hours, whatever,) can return more than 100% of capital invested

While this is pure fantasy, this is the kind of "abstraction" I am talking about.

nitro
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#41 May 11, 2004

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