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My suggestion is for support for walk forward optimization. This is
what we all actually do in real life. Since we can't look into the
future, we test/optimize based on the past, then apply the results
to the following days trading. We then look at the results and make
additional changes.
There are 2 simple variables: 1) The length of time we look back,
and the length of time (or other conditions) we wait until we re-
optimize.
There's a 3rd, more complicated variable - how we choose the
optimium parameters from the last optimization run. My suggestion is
for a "score" formula that takes into account things like: maximum %
drawdown, best compound rate of return, highest minimum of the
running 1 year returns (or whatever period you like).
I particularly like the last one - I always look at a graph of the 1
year returns (Equity() - Ref(Equity(), -253)). Ideally, it should be
as flat as possible (or maybe rising). I've been treating this a
little like analysis of variance - it should look like white noise
with a given mean and standard deviation - any periods that don't
bear investingation.
Right now I use AmiBroker for experiments, but when I find an idea I
like, I must write my own program to do walk-forward testing.
Larry Lewis
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