Parameters
by kickass@road of trade
I think the concept of statistical robustness in important in system
developement. It all comes back to the to the assumptions you are making
about your data.
the problem of choosing/changing parameters is not a big issue in system
developement as lutein believe, a system have to stable aross a range of
parameters to be consider robust.so if a 5-20 moving average crossover
works, we demand that a 4-30, or a 10-50 crossover works too..this is one of
the fundamental requirement for a robust system. this minimizes the effects
of optimization in the data.
To most people who don't design system, that's it..., but there are many
pitfalls in system developement, the process of developing system is similar
to conducting a scientific experiment, your methodology determine the
validity of your results.
More important is containing the degrees of freedom in the system and
determing the statisical significance of your results. the later uses a lot
statstics such as z and t-score, bootstrap resampling, monte carlo,
non-parametric tests, p-score to accout for data-mining and survivor
biases..
I am just saying that is a lot of more to it then just changing parameters..
==
These thoughts, analytic or synthetic, are optional for profitable trading.
In the trading history, few of the big names attribute their success to this
kind of elaborative knowledge. You don't think Jesse Livermore know all about
this, do you?
Trading is a simple matter. It's about trend, about risk, about psychology.
While this synthesis thinking does not rule you out as a successful trader,
it does not make you one either.
--
"We have to understand the possible and positive relation between technology,
culture and politics. They are not enemies. Tech is more than work and money.
Culture is more than just some temples or paintings. Politics is not owned by
the politicians or the media manipulation channels."
---Geert Lovink
--
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◆ From: 59.117.73.142
※ 編輯: stasis 來自: 59.117.73.142 (03/08 00:04)
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