Greetings --
Regarding "What I want it for is to create Perry Kaufman's Information Ratio which is CAR/Annualized SD. The resulting values show how likely the system is to be robust. Anything above 3.0 indicates an overfit system."
-------------------
CAR/SD has dimensions similar to those of Sharpe ratio. I am skeptical that it has a strong relationship to being overfit. A ratio of mean (such as CAR is) to standard deviation is a z-score. High values suggest data points that are relatively rare. That could result from a model that accurately identifies the profitable pattern -- just as we hoped it would -- which would be precisely the wrong reason for rejecting a system.
Poor OOS results could come from either a model that was overfit or a change in the data between the IS and OOS periods.
The best method of determining whether a model has been overfit to the data is strict (one time use) out-of-sample test. Which is what live trading will be, which is a good reason for following sound modeling, simulation, and data science procedures.
The best method of determining whether a model has been overfit to the data is strict (one time use) out-of-sample test. Which is what live trading will be, which is a good reason for following sound modeling, simulation, and data science procedures.
Best regards,
Howard
On Sun, Feb 14, 2016 at 5:52 AM, sladbrook@hotmail.com [amibroker] <amibroker@yahoogroups.com> wrote:
Thanks Gregg
That got it!
I've made the same bloody mistake in the past. I'm going to have to stick a note up on the wall to remind myself!
Thanks again
CK
__._,_.___
Posted by: Howard B <howardbandy@gmail.com>
Reply via web post | • | Reply to sender | • | Reply to group | • | Start a New Topic | • | Messages in this topic (8) |
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
.
__,_._,___
EmoticonEmoticon