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I'm missing something then. I want to do an optimization within an
optimization. I don't see how I can programmatically (without using
JScript or VB) select the "best" parameters from an optimization run
and then use them in a subsequent backtest step, for one day only,
then repeat that for all days available WITHOUT any manual
intervention...
What I want to do is (assuming we have, say, 2000 data points, and a
system that has 2 variables that can be optimized),
find the "best" opt_period:
For opt_period=250 to 1000 by 50
For begDate = 0 to 2000-opt_period by 1
endDate = begDate + opt_period
// Find best opt_var1, opt_var2 for begDate to endDate
For opt_var1 = v1init to v1end by v1step
For opt_var2 = v2init to v2end by v2step
result1[] = backtest from begDate to endDate
End for
End For
// Decide what to do on endDate+1
Select opt_var1, opt_var2 from "best" result1[]
Use chosen opt_var1 and opt_var2 for endDate+1
End For
Save result2[]
End For
list values from result2[]
Larry Lewis
--- In amibroker@xxxx, "Tomasz Janeczko" <amibroker@xxxx> wrote:
> Larry,
>
> As Al wrote, there is no obstacle in adding additional optimization
> parameter that controls walk-forward test.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "lel4866" <lel@xxxx>
> To: <amibroker@xxxx>
> Sent: Monday, September 30, 2002 5:30 PM
> Subject: [amibroker] Re: Suggestion for better
backtesting/optimization
>
>
> > 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
> > >
> > >
> > >
> > > Yahoo! Groups Sponsor
> > > ADVERTISEMENT
> > >
> > >
> > >
> > >
> > > Post AmiQuote-related messages ONLY to: amiquote@xxxx
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> > >
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> > >
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> >
> >
> >
> > Post AmiQuote-related messages ONLY to: amiquote@xxxx
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> >
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> >
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> >
> >
> >
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