要怎麼樣才能達到curve-fit? - 財經
By Lauren
at 2010-05-22T03:50
at 2010-05-22T03:50
Table of Contents
常常聽到在交易系統中參雜過多自由度而造成曲線密合
我想問的是 若跑十年的歷史資料 參數小於四個 也會不小心就曲線密合嗎?
會這樣問是因我最近用99~08的台指期歷史資料跑系統回測
為了不造成曲線密合 參數儘量都保持在四個以內
作最佳化時也很注意績效是否大起大落 避免挑選神奇參數
接著以09年至今作為樣本外資料 發現獲利雖有衰退 但還在可接受的程度
(系統年均獲利3000點左右 最大連續虧損為1300點 09年賺2000點 今年到現在賺500點)
我是否過度曲線密合了? 還是這個問題終究是無解的呢? ^^"
--
我想問的是 若跑十年的歷史資料 參數小於四個 也會不小心就曲線密合嗎?
會這樣問是因我最近用99~08的台指期歷史資料跑系統回測
為了不造成曲線密合 參數儘量都保持在四個以內
作最佳化時也很注意績效是否大起大落 避免挑選神奇參數
接著以09年至今作為樣本外資料 發現獲利雖有衰退 但還在可接受的程度
(系統年均獲利3000點左右 最大連續虧損為1300點 09年賺2000點 今年到現在賺500點)
我是否過度曲線密合了? 還是這個問題終究是無解的呢? ^^"
--
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