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When doing this, I'm not yet in the model validation phase - where I
test with out-of-sample data. I'm still in the model selection
phase, so I'm trying to pick the best model. In order to do this, I
want to accurately simulate how the parameter selection will change
over time.
Larry Lewis
--- In amibroker@xxxx, "wavemechanic" <wd78@xxxx> wrote:
>
> ----- Original Message -----
> From: lel4866
> To: amibroker@xxxx
> 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 to test 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 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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