Original System Optimization - Forum Information

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Original System Optimization

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donbrown10

Posted: Monday, March 14, 2011 2:20:16 AM

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Joined: 8/17/2009
Posts: 13
Points: 39
Location: USA

Hi Patrick (fellow Michigander)

I was wondering what time period you did your original back testing optimization for the MTR system before going live in 2009? Or was it over a number of different itme periods?

Regards,

Don

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Posted: Monday, March 14, 2011 2:20:16 AM

Patrick

Posted: Wednesday, March 16, 2011 11:29:48 PM

Rank: Admin
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Joined: 4/25/2009
Posts: 74
Points: 200
Location: USA

Hi Don,

This sure has been a rough winter. I am ready for spring.

The back-testing was done on data from 1998 to 2008. There were a couple of minor tweaks to the model in mid 2009 but not touched since then. The tests were always on the same out of sample range of 1998 to 2008 to always compare Apples to Apples when testing was done.

Thanks,
Patrick

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