Hi Bizman - it's tough to nail down the exact ratio or even the data range period. We attempt to select an optimization range(training range) which is representative of all types of market conditions leaving the balance of the data range to feed forward(validation). Please note that we consider CH results as preliminary; we further evaluate the model from with TS/MC & NT.
1 - Data Range 30May10 - 7Nov10 Training = 64% / Validation = 36%
2 - User can select other ranges
3&4 - CH in training, note 8 processors sharing the load;
I've read at least a hundred articles on neural networks and everyone has an opinion on what type of data to feed the model; pre-processing; post processing; etc ... it's more of an art than a science, so it seems.
While we haven't even scratched the surface on model building we have some good ideas on employing and monitoring model performance.
can you post you strat inputs for this time period? this is for the NWA_ES_R3a system. I ran an optimization from 9/26 to now, then looked at performance from 1/1/2008 and its straight off a cliff. i probably do not have the right inputs
Here's performance w slippage going back to 1/1/2008. As you can see, the use of mkt orders and not accounting for even 1 tick in slippage completely destroys the strat, which is an enormous problem. a non HFT robust system should take into consideration mkt ineficiencies when filling orders. A recomendation here is to reoptimize your sample period with slippage included. as someone who runs client money on automated systems, i have never seen a market order fill without incurring slippage in any market in any vehicle. 100% chance you will have slippage in order mkt orders. that being said it is unreasonable to not control the controlables when building a system.
Last edited by tortexal; November 9th, 2010 at 10:32 AM.
You went from 2800 trades to 800, I would be concerned of over curve fitting especially on a 3-year backtest with only 800 trades.
I've not looked at the strategy itself, just your last two posts.
Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.
Need help? 1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first. 2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses. 3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make. 4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance. 5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers. 6) Help using the forum? Watch this video to learn general tips on using the site.
If you want to support our community, become an Elite Member.
When planning a trip to vegas, it is best to have some kind of strategy in sofar as when to get up and leave the hold em table. I leave for two reasons. 1: to keep my winnings 2: to prevent me from going on tilt
tables have a min buy in amount. many people use the rule of thumb of having a minimum of X # of big blinds in chips. When they drop below X, they leave. The inverse is that if im able to chip up X% of my buy in, i also leave.
mkts are no different, especially when it comes to auto trading systems. So the reason the stats reflect taking less trades is because im simply leaving the table after running out of chips, or making a good amount vs my buy in.