tag:blogger.com,1999:blog-107568321062020427.post2962267645188864028..comments2023-09-19T00:48:06.643-07:00Comments on Intelligent Trading: Modified Donchian Band Trend Follower using R, Quantmod, TTR -Part 2: Parameter Sweep Sensitivity over long runIntelligent Tradinghttp://www.blogger.com/profile/17765336450326139518noreply@blogger.comBlogger2125tag:blogger.com,1999:blog-107568321062020427.post-21708578975983505242010-03-25T11:56:40.532-07:002010-03-25T11:56:40.532-07:00Thanks Hugin,
That is a good 2nd sanitary check (...Thanks Hugin,<br /><br />That is a good 2nd sanitary check (slicing the data into windows and observing sensitivity); cross-validation is a similar approach from machine learning, and TA uses walk forward. I have similar approach I like to look at. However, I'm still trying to get R to behave under these types of non-canned evaluations. I think the R metrics suite shows promise, but there are still issues causing me to custom write a lot of the code.<br /><br />ITIntelligent Tradinghttps://www.blogger.com/profile/17765336450326139518noreply@blogger.comtag:blogger.com,1999:blog-107568321062020427.post-63865598548287447892010-03-25T01:23:32.204-07:002010-03-25T01:23:32.204-07:00Regarding parameter fitting I also find it useful ...Regarding parameter fitting I also find it useful to check the local sensitivity to parameter values. If making small changes to parameter values gives a big difference in the fitness of the system it is likely to be over-fitted. The example shows a nice plateau around n=150. It might make sense to optimize over a number of intervals to see if and how this plateau moves around. Did I mention that I really like what your doing with this site?Huginnoreply@blogger.com