Kaufman discusses a number of measures we can take to help insure a timing model is robust. First among them is a parameter sensitivity testing. The trading system must display reasonably consistent results over a wide range of alternate signals. If performance depends on a narrow set of parameters, results in actual trading will suffer. Kaufman walks us through many useful techniques to increase the robustness of the indicator mix.
Spreadsheet examples help illustrate the mechanics of the recommended procedures.
An effective trading system must also be robust across time. Here the analyst uses one segment of data to develop the timing logic and then applies the same trading rules to a different time frame. In this way the source data that generated the signals are isolated from the proof data that confirm them. The author cites specific procedures for blind testing that will benefit any system trader. Price shocks are violent gaps and shakeouts that come out of nowhere.