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This is not what I meant -
I would like to do all of this in an automated fashion where the
look back period and stable parameter period are both optimization
variables, and the parameter selection was automatic.
Larry Lewis
--- In amibroker@xxxx, "Avcinci" <avcinci@xxxx> wrote:
> 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.
> ----- 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.
>
> 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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