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Hi dingo,
You wrote below about Optimization:
>I should point out that according to most of the knowledgeable
>sources that you should only optimize once for a range of dates that
will include bull and bear periods and then do a series of
backtests "out of sample" to find out if your formula is "robust".
That's the hard part!
>
> d
I think Leo may be referring, in his Post, to an Optimization
technique called "Walkforward Validation", which is what some people
recommend and prefer. It's another option to handle bull and bear
years. As you say, no matter what technique, it's not easy :)
Bill
>
> -----Original Message-----
> From: leo_amelc <leo.timmermans.lt@xxxx>
> [mailto:leo.timmermans.lt@x...]
> Sent: Saturday, March 01, 2003 10:09 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Automated Backtesting
>
>
> Hello,
>
> I've a question regarding the AA Automation objects.
>
> I want to do the following:
>
> 1) take a stock (or group of stocks) and optimize an indicator
> during a period ((RangeFromDate - RangeToDate) of let's say 6
months.
>
> 2) use the 'best values' to backtest this stock during a certain
> period; this period directly follows the optimisation period
>
> 3) repeat steps 1 and 2 in a 'rolling mode'.
>
> My question is : how can I get the optimised values in my
backtest ??
> I guess one way is through the export of the results list to CSV
file
> but maybe there is a smarter way ??
>
> Thanks
> Leo
>
>
>
>
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