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You can do walk-forward testing now with AB. Simply optimize from,
say, 1997 to 2000, then using the optimum parameter values from that
optimization, backtest on the same stocks from 2000 to present (out of sample
data). You can vary the time periods to do your optimizations and backtests. Of
course, this is 2 steps, but it's not that hard. TJ has said that, later this
year, he will be incorporating in his graphics engine 3-D graphics that enable
the user to view the robustness of an optimization in a manner similar to but
better than the Excel add-in that Herman developed and uploaded earlier. You
would choose parameter values from a flat area of the optimization graph where
the parameter values and equity curve would not change much from one set to
another.
Al V.
<BLOCKQUOTE
>
----- 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.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 LewisPost
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