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Filters
- Thread starter Dobbes
- Start date
Quote from FaceOff:
Anything which stops you entering trades is actually reducing your sample-size in back-testing, which will lead to curve-fitting. So to test if filters are working, use walk-forward testing.
Agree, to a point.
Switching a fairly simple trading system on or off based on it's equity curve can lead to a more robust result than adding additional filters directly to the system's trading rules.
Like anything else though, YMMV...
Quote from jprad:
Agree, to a point.
Switching a fairly simple trading system on or off based on it's equity curve can lead to a more robust result than adding additional filters directly to the system's trading rules.
Like anything else though, YMMV...
Without more specifics, my mileage is zero :-/
I assume you'd turn it on when the equity curve is showing a good ol' 45 degree climb and off when it hits an account balance trailing stop?
Quote from Dobbes:
What is the general opinion on using filters in simple technical systems? Do they add value in general, or are they just another source of curve-fitting?
If the performance is increased without decreasing the statistical significance of the results you may have something there.