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KJ Trading Systems Kevin Davey - Ask Me Anything (AMA)
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KJ Trading Systems Kevin Davey - Ask Me Anything (AMA)

  #281 (permalink)
Trading Apprentice
Espoo Finland
 
Futures Experience: Intermediate
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SMCJB View Post
Walkforward (the way Kevin teaches it) is the bane of my existance, but also probably a life saver. I have so many things that look good at first but never can get past walkforward. That tells me they wouldn't work in real life either.

Do you have any examples (settings/features not packages) where this is the case. If done correctly I can't see how your walkforwards could be increasing curve fitting.

Well you have to choose "parameters" for Walk Forward e.g. length of in-sample vs length of out-sample. Which measure of goodness to use. It's easily possible to start "optimizing" the walk forward process.

Kevin: Do you have more information about your WAlk-Forward process and the practicalities related to it. Maybe a webinar or something?

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  #282 (permalink)
Market Wizard
Cleveland Ohio/United States
 
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SMCJB View Post
Walkforward (the way Kevin teaches it) is the bane of my existance, but also probably a life saver. I have so many things that look good at first but never can get past walkforward. That tells me they wouldn't work in real life either.

Do you have any examples (settings/features not packages) where this is the case. If done correctly I can't see how your walkforwards could be increasing curve fitting.


I would say Cluster Analysis feature of some platforms could be curvefitting.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #283 (permalink)
Market Wizard
Cleveland Ohio/United States
 
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bluefightingcat View Post
Well you have to choose "parameters" for Walk Forward e.g. length of in-sample vs length of out-sample. Which measure of goodness to use. It's easily possible to start "optimizing" the walk forward process.

Kevin: Do you have more information about your WAlk-Forward process and the practicalities related to it. Maybe a webinar or something?


Yes, but only available to students...

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #284 (permalink)
Market Wizard
Houston, TX
 
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bluefightingcat View Post
Well you have to choose "parameters" for Walk Forward e.g. length of in-sample vs length of out-sample. Which measure of goodness to use. It's easily possible to start "optimizing" the walk forward process.

Ahh okay. Yes I agree you can optimize the walkforward itself, different is/os periods, different start dates etc etc and that would obviously could lead to over fitting, which is why you shouldn't do it.


kevinkdog View Post
I would say Cluster Analysis feature of some platforms could be curvefitting.

Thank's Kevin that's interesting. As you know I've looked at Cluster Analysis, and would say in that 4 out of 5 cases my cluster analysis produces better/more stable results. My clustering is just 'average gross profit of nearest neighbors' but maybe that is the exact type of overfitting you mean. I've had so few systems pass either walkforward test though it's difficult to analyze the effect of clustering on my results.

Off topic - for many years the Texans were called Denver South. After last night I'm not sure whether we should be Cleveland South or whether you should be Houston North!

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  #285 (permalink)
Market Wizard
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SMCJB View Post
Ahh okay. Yes I agree you can optimize the walkforward itself, different is/os periods, different start dates etc etc and that would obviously could lead to over fitting, which is why you shouldn't do it.


Thank's Kevin that's interesting. As you know I've looked at Cluster Analysis, and would say in that 4 out of 5 cases my cluster analysis produces better/more stable results. My clustering is just 'average gross profit of nearest neighbors' but maybe that is the exact type of overfitting you mean. I've had so few systems pass either walkforward test though it's difficult to analyze the effect of clustering on my results.

Off topic - for many years the Texans were called Denver South. After last night I'm not sure whether we should be Cleveland South or whether you should be Houston North!

Pretty soon, the Browns will have all the Texans picks in future drafts. But it does not matter, the Browns would screw up a draft even if they had every single pick!

I think there are ways to do Cluster analysis correctly, and ways to just curve fit with it. In any analysis/testing, I always like to see as much performance as possible with unseen data. That to me is the key.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #286 (permalink)
Elite Member
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which system better - fixed variable or wf variable

Kevin, which system would you say is more robust - the one that uses no variables (or in other words the variable is fixed and is not wf) or a system where you wf a single variable after a certain time frame? Assume here that systems are built in the same manner where IS period is all data except for the past 2 years. I am asking this question as you come across both systems but not sure which one you should strive for as logic behind both of them is usually different.

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  #287 (permalink)
Market Wizard
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alko View Post
Kevin, which system would you say is more robust - the one that uses no variables (or in other words the variable is fixed and is not wf) or a system where you wf a single variable after a certain time frame? Assume here that systems are built in the same manner where IS period is all data except for the past 2 years. I am asking this question as you come across both systems but not sure which one you should strive for as logic behind both of them is usually different.

Really, either one could be bad, or either one could be good. It all depends HOW it was developed. For example, using no variables (where you fix the variable value) can be nice, but not if it was derived after running an optimization, then realizing you could "fix" it to a set value. Similarly, you can screw up the wf approach it multiple ways (cluster analysis when done incorrectly is just one way to mess it up).

Ultimately, no matter how you do it, live (future) data is the best judge of which is better.

Not the answer you hoped for, but I hope it helps...

Kevin

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #288 (permalink)
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sweden
 
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Mabi's Avatar
 
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Consecutive looser_winners

Do you think there could be an edge from counting consecutive Loser's and Winner's in a strategies history and from that analyze and implement increased or decreased position sizing . I think the key point is to cut the extrems from a sequence
when the probability of another losing trade or another winning trade is very very weak


Last edited by Mabi; May 9th, 2017 at 02:05 AM.
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  #289 (permalink)
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I have three strategies working on ES, they did pretty good the last two years since I put them live but this year I'm really having hard times keeping them working. Overall they are still in profit YTD but numbers are very small and defenitely this is due to the low volatility. I'm trying to think which could be the events that could increase volatility, French election for example were a non event.
So I was wondering if anyother who have strategies on ES is experiencing my same difficulties...

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  #290 (permalink)
Market Wizard
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Mabi View Post
Do you think there could be an edge from counting consecutive Loser's and Winner's in a strategies history and from that analyze and implement increased or decreased position sizing . I think the key point is to cut the extrems from a sequence
when the probability of another losing trade or another winning trade is very very weak

That approach might help ONLY if your trades exhibit serial correlation.

Otherwise, it would work about as well as applying it to a random coin flip, which also has consecutive loser/winner runs. In other words, it would work only be sheer luck.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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