Discussion in 'Strategy Building' started by yoyo2000, May 9, 2004.
Could anyone give me some guide?
Are you speaking of curvefitting or optimization in the positive sense of modeling market action accurately or in the negative sense of fallaciously modeling a random price sequence and regarding it as deterministic?
i get only little sense about them,and i want to make it clear that whether they are useful for the system trading or not,how to avoid their shortage......thanks
The Irwin Guide to Trading Systems by Bruce Babcock is a good place to start.
... always makes me a little leary.
I like systems that show that they can work well within a range around the optimal parameter.
Also, I would worry about stationarity - the results should be broken up over several non-overlapping time frames and analyzed.
Just analyzing over one large block of time-series data, IMHO, can be very misleading. I wouldn't reduce a system to a single profit-factor number.
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