Adding Randomness During System Development, 06/12/11
Here's a great way to gain quick insights into trading system behavior w/o having to burn a bunch of data by holding it out of sample:
Add elements of randomness to the system itself.For example:
If the system has a moving average component, instead of choosing 'n', use a random number around n, e.g.,What you will see is variance; variance similar to what a system sees as the market changes underneath it after it begins trading live data. This will help turn the unexpected, the ebb and flow of the live market, into the not-so-unexpected.Instead of '200', use 190 + random(19)Which will automagically test a number between 190 and 210 each time the system is run.