Pardo - Measuring Degrees of Freedom
Posted: Wed Aug 18, 2010 9:47 pm
Here are a couple questions for any of you guys who have read Robert Pardo's book, "The Evaluation and Optimization of Trading Strategies"...
1) When measuring the degrees of freedom in a CSI Futures data sample, would it be correct to compute this as
6(OHLCVOI)*Number of Years * 260 * Number of Markets ?
2) On p.292 he talks about a dual moving average system and says each moving average uses as many degrees of freedom as its length, plus another degree of freedom "as a rule".
How do you count the number of rules in your system? If you have, say, a long entry signal that uses 2 different moving averages, is that one rule or two? Once you start combining indicators, it seems like things get tricky here.
Any advice would be appreciated. It's not the clearest book in the world.
1) When measuring the degrees of freedom in a CSI Futures data sample, would it be correct to compute this as
6(OHLCVOI)*Number of Years * 260 * Number of Markets ?
2) On p.292 he talks about a dual moving average system and says each moving average uses as many degrees of freedom as its length, plus another degree of freedom "as a rule".
How do you count the number of rules in your system? If you have, say, a long entry signal that uses 2 different moving averages, is that one rule or two? Once you start combining indicators, it seems like things get tricky here.
Any advice would be appreciated. It's not the clearest book in the world.