I was exploring many settings to see the one that returns a lower degradation from IS days (see Avg. A) to OoS days (see Avg. B) on @NQ (day-trading).
Here the setting that returned me a degradation of about 10%.
Other settings I tested return higher degradation.
Personally I trend to explore first best setting that builds say max 10k systems, once I found it, then I start real building of more than 40k systems
with that setting.
Comments more than welcome.
TF: 29-30-31 Min bars.
#indic=5.
Data stream: NQ and $NDX.
SF=CloseLessPrevCloseDBPV.
Training=100% with Min-PF=1.3 and Min-#Trdes=120. Just on PF I've realized that high PF degrades much more than other metrics. I never go over 1.5.
Nth=1.
No S.L.-only EOD exit
Period: 2001-12/31/2016 - I prefer to leave out at least 2 years of OoS.
admin - 16-1-2019 at 04:24 AM
Youve done some great work. I hope to update the GSB methodology soon, but ive been stuck on some issues & made a critical mistake in the video that I
saw later. The videos going to be in the private forum first for feedback and comments from experienced GSB users first.QuantDean - 24-5-2020 at 03:14 AM
Thanks for sharing your experience with NQ - do you find that using 5 indicators may lead to greater overfitting? Has anyone here run some research on
the relationship between number of indicators and degradation? rws - 24-5-2020 at 03:59 PM
I have been struggling with custom fit criteria in GSB and several other programs and found the custom fit formula has a big influence on OOS. There
is not a general rule because it also depends on the systems the program generates. To prevent from drawdown I always have a bit of that in the
formula. admin - 25-5-2020 at 03:42 AM
Thanks for sharing your experience with NQ - do you find that using 5 indicators may lead to greater overfitting? Has anyone here run some research on
the relationship between number of indicators and degradation?
be good to check using my cl benchmark.
Unless there is evident via a benchmark, im not in favour of 5 indicators.
Let the methodology with benchmark guide you in all things
