Nézzük akkor a backtest folyamatát. Mielőtt bármiféle backtestet csinálnánk, a rendelkezésre álló adatokat két részre kell osztani, In-Sample és Out-of-Sample adatokra. Az In Sample adatokon folytatjuk a rendszer tesztelését fejlesztés közben. Amikor elkészültünk, akkor végső…

A Trading Markets cikke: Many successful traders share one habit - they backtest their trading strategies. Backtesting your trading strategy will not alone guarantee that you will become profitable, but it is a giant step in the right direction. In this article we examine some potential biases that…

But beware of modifying the system solely to select the set of values that test best out-of-sample.  Remember that every time you examine the results of an out-of-sample test, including a walk forward test, and then modify the system in order to improve the results, you are increasing the degree to…

Of course, the developer of the system can use whatever data he or she wishes for validation. But when the system is used for trading, the sequence is always develop, then trade. Actual trades are always out-of-sample. The best estimates of future performance come from tests made on out-of-sample…

Measuring System Quality This article is in response to several emails and a comment to my article Distributions. This comment summarizes the question nicely: Great post on distributions. Can you comment on using Van Tharp’s System Quality Number as an indicator of tradability? It uses only…

Cikk a backtestelésről http://4xtutor.com/autotrade/maths/data-snooping-and-seasonal-effects-2/