Hi Howard
Thanks for the reply. Wish you could have helped with the code as well though :P (Thanks Gregg)
I totally agree that testing using a single run OOS test to examine results is the way things should be done. As you say, you can see if the system has robustness and if it loses synchronisation with the market it trades. Then one can decide what to do from there. No more testing though - with the OOS run complete, so is tweaking.
Personally I also look at degrees of freedom when examining robustness. Dont want to have too many moving parts.
As for the Info Ratio, well it was less an indicator I wanted to use to primarily determine robustness and more just an exercise in teaching myself some more amibroker code...which I obviously failed at :/ (Thanks again Gregg!) That said, thinking about the point you raise might be interesting. I dont disagree with you, because I havent done any real testing with it yet. However, in at least one of your books you state that the SD typically exceeds the mean (QTS p.257), which would likely mean the Info Ratio is less than 1. I have tended to notice this on my own systems; that the SD is greater than the mean. Not always, but on many systems. In addition, I cant think of any systems that I would call robust that I've looked at where the Info Ratio would exceed 3.0 (off the top of my head, ofc). So maybe it would work as a rough guide to robustness? Not a substitute for OOS test, no way, but perhaps an extra tool? Do you have any explicit systems you were thinking of when you mentioned high Info Ratios that you could share?
TIA
CK
Posted by: sladbrook@hotmail.com
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