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----- Original Message -----
<DIV
>From:
lel4866
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, September 29, 2002 12:29
PM
Subject: [amibroker] Suggestion for
better backtesting/optimization
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.
By "walk forward" do you mean,
as in real life, to test as future data comes in? Or do you mean totest
a system with out-of-sample data? The second is considered to be the
strategy of choice by the system experts.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 lookat 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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