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URL:  http://boards.fool.com/this-flashes-my-curve-fitting-warning-light-i-26843757.aspx

Subject:  Re: Blending at a Whole New Level Date:  7/24/2008  8:06 PM
Author:  elann Number:  211476 of 258147

This flashes my curve fitting warning light.

I agree that this process adds a bit more room for curve fitting, but there aren't
really a lot of degrees of freedom, since this is (as I understand it)
entirely a step-forward test. At each month you're using only screen
performance data for periods prior to that date.


What you're describing is the lack of a look-ahead bias, i.e. crystal ball, which is true.

What I'm describing is a different issue. Let's say you have two screens A and B, and A performs slightly better over the whole test period. Now you perform some random process to split the test period into alternating subperiods (simulating a timing signal). You call the two sub-series "bull" and "bear". Then you test both screen A and B in the bull and bear periods separately, and pick out the one that performed better in each period. You have created two new opportunities to outperform A alone - one wh