Search found 51 matches
- 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: 84
- Views: 100790
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 Sy...
- 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: 6256
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...
- 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: 6256
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
PS:results are in attachment
- Sun Oct 17, 2004 6:46 am
- Forum: Testing and Simulation
- Topic: Some puzzle about Walk Forward Optimization
- Replies: 6
- Views: 6766
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 th...
- Tue Sep 14, 2004 4:32 am
- Forum: Testing and Simulation
- Topic: A discussion about generating synthetic data ?
- Replies: 20
- Views: 19966
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...
- Mon Sep 13, 2004 9:24 am
- Forum: Testing and Simulation
- Topic: A discussion about generating synthetic data ?
- Replies: 20
- Views: 19966
- Mon Sep 13, 2004 9:17 am
- Forum: Testing and Simulation
- Topic: A discussion about generating synthetic data ?
- Replies: 20
- Views: 19966
- Sat Sep 11, 2004 10:11 pm
- Forum: Testing and Simulation
- Topic: A discussion about generating synthetic data ?
- Replies: 20
- Views: 19966
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?
anyone's interested in it?
- Sat Sep 11, 2004 10:08 pm
- Forum: Testing and Simulation
- Topic: Any help about the price vector model,please?
- Replies: 4
- Views: 5038
- Sat Sep 11, 2004 7:59 am
- Forum: Testing and Simulation
- Topic: Any help about the price vector model,please?
- Replies: 4
- Views: 5038
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...
- Fri Sep 10, 2004 10:06 pm
- Forum: Testing and Simulation
- Topic: Any help about the price vector model,please?
- Replies: 4
- Views: 5038
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 abou...