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  1. Default The elphant in the room, over fitting

    expert system developers,

    one of the biggest challenges of building mechanical systems; is whether the system you built has an edge; or simply is curve fitted.

    some tools i am using personally are:
    - out of sample test
    - bootstrap statistics
    - forward test (aka paper trading)

    what are your thoughts and experiences?

  2. Default

    Hey Alpha

    anyone who has worked with me knows I am not the worlds most proficient MT4 programmer and certainly not the worlds most patient EA developer/collaborator

    For me I like to focus on testing systems in that area where they are by definition most weak, ineffectual and exposed to losses

    so for a trend based system I will focus on "chop" and flattish market periods and see how it performs during that time in terms of signals/drawdown/losses

    Once you have a system that has your "back" (defensive mode) then the rest should take care of itself

    for me its defense defense defense before anything else

  3. Default

    I'm almost tempted to post a sensible reply !

  4. Default

    some of the best comment on this area i have read is in 'way of the turtle'.
    plain english and not much math - that may or may not be a reccomendation.

  5. Default

    ALL systems are essentially curve-fitted.

    a: You make a general observation about the market.
    b: You formalise the observation into a set of rules.
    c: You try out those rules, and test using differing parameters giving optimal returns.
    d: You re-test against different data, or forward test.

    I concur with andrewdbs recommendation of the Way of the Turtle.
    The book has a chapter on optimisation.

    System designers should spend more time on robustness.
    That is, if a system creates a radically different return by changing parameters just slightly, be very wary, it is most likely curve-fitted.

    A good system should generate similar returns even if you mess about with the given parameters, within reason.



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