To: Brian Hornby who wrote (15532 ) 2/15/1999 9:42:00 PM From: F Robert Simms Read Replies (2) | Respond to
Thanks very much. I guess I would advise sticking with your own system, most traders I know who have been successful long term have their own system that they trust and follow. Have you considered just trading an Emini with the system? Trading options seems to stack the odds against you, however I guess the loss limit feature is attractive. I read on the Profit site discussion on the GRNNs. They do give best back tested results, more or less by definition. However I believe the consensus is that they fall apart with out of sample data. Have you tried using a large interval for the hold back date? My procedure is to do the model building with a hold back date early 1998 (say March), then optimize with the pre-hold back date, then finally evaluate the models with the out of sample (post hold back date) data, without any further optimization. Perhaps that is the standard routine for most people and I am sure I am not saying anything you don't know. I am also finding that sometimes adding more variables to a system completely screws it up. For example, today I added inputs based on the SP close to my bond model, and most of the models the system built were negative versus 100% profitable models from the old system. Next thing I will do is start at basics, develop SP models based just on the SP price (and perhaps volume), ditto for Bonds, then add other variables one by one, for example Advance-Decline to the SP model and interest rates to the Bonds, and re-evaluate. In that manner I will know exactly the effect of each new variable and move to complex models only if they add profitability.
