Search found 51 matches

by yoyo2000
Fri Dec 03, 2004 1:48 am
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 83
Views: 80321

From "Schwager On Futures Managed Trading:Myths & T

In Part II of "Schwager On Futures Managed Trading:Myths & Truths",he said,neither historic performence level nor relative historic performence ranking could predict future performence of a system,and the exams in the Part proved his argument.So how to know System A is superior than System B?
by yoyo2000
Wed Nov 10, 2004 6:06 pm
Forum: Testing and Simulation
Topic: How to pick the most suitable values among three parameters?
Replies: 4
Views: 4937

Oh,yes,the most robust value,I mean,profit factor/DrawDown should be relatively high,and the area around that profit factor,other profit factors should be relatively high and stable,too;at the same time,the area around that drawdown should be relatively low and stable,that's,the location I want shou...
by yoyo2000
Wed Nov 10, 2004 10:56 am
Forum: Testing and Simulation
Topic: How to pick the most suitable values among three parameters?
Replies: 4
Views: 4937

How to pick the most suitable values among three parameters?

after back-testing,I get a set of results of a three parameters system,but I'm not sure to get the most suitable-robust values from them,could anyone give me some guideline or advice,please?

PS:results are in attachment
by yoyo2000
Sun Oct 17, 2004 6:46 am
Forum: Testing and Simulation
Topic: Some puzzle about Walk Forward Optimization
Replies: 6
Views: 5050

Some puzzle about Walk Forward Optimization

I happened to know walk forward optimization(WFO,for short),but I can't clearly get it,from what I knew:dividing data into several segments,optimizing first segment,measure the system with the "optimal value" on the second segment,and go on....I got an idea that it's far more reasonable than back-te...
by yoyo2000
Tue Sep 14, 2004 4:32 am
Forum: Testing and Simulation
Topic: A discussion about generating synthetic data ?
Replies: 20
Views: 16154

Well,I like the informal mood here:) Forum Mgmnt,my initial thought is to backtest some methods over the synthetic data that derived from the real markets data,and carry the ones which show positive expectencies on the real markets historical data I trade,for a out-of-sample test.And the logic behin...
by yoyo2000
Mon Sep 13, 2004 9:24 am
Forum: Testing and Simulation
Topic: A discussion about generating synthetic data ?
Replies: 20
Views: 16154

PS:

The way mentioned in the book "Beyond Technical Analysis" ( the delta model, for short) seem simple,but I feel the price vector model seem more reasonable,any suggestion in detail?
thanks
by yoyo2000
Mon Sep 13, 2004 9:17 am
Forum: Testing and Simulation
Topic: A discussion about generating synthetic data ?
Replies: 20
Views: 16154

TradingWindow,sorry,but could you tell me in which chapter the book discuss this topic? I couldn't find it out:( ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ "In order to answer this question properly, we need to know why you want this data and why you think synthetic data is somehow better than actual histo...
by yoyo2000
Sat Sep 11, 2004 10:11 pm
Forum: Testing and Simulation
Topic: A discussion about generating synthetic data ?
Replies: 20
Views: 16154

A discussion about generating synthetic data ?

How about generating synthetic data to test some trading thoughts or methods?Does any logical and reasonable way to generate them exist?

anyone's interested in it?
by yoyo2000
Sat Sep 11, 2004 10:08 pm
Forum: Testing and Simulation
Topic: Any help about the price vector model,please?
Replies: 4
Views: 4059

Thank you,Verec,I will study your code.
by yoyo2000
Sat Sep 11, 2004 7:59 am
Forum: Testing and Simulation
Topic: Any help about the price vector model,please?
Replies: 4
Views: 4059

Thank you for your kindness,Roscoe,actually,I'v got another random data generator,but the pure random data can't show the characteristic of market,so I wanted to generate synthetic data from real data in some way,and that's the purpose of the price vector model.maybe it's my fault not to describ the...
by yoyo2000
Fri Sep 10, 2004 10:06 pm
Forum: Testing and Simulation
Topic: Any help about the price vector model,please?
Replies: 4
Views: 4059

Any help about the price vector model,please?

Hi,recently, I read a book "Trading system analysis" by Robert Barnes. In which there is a model generating synthetic market data,its name is (Simple) price vector model. I am very interested in it,but I couldn't get the exactly steps to perform it,for there is only simple description about them in ...