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can
you point me to some more info on "Walkforward Optimization"??
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<FONT
face=Tahoma size=2>-----Original Message-----From: bvandyke
<bvandyke@xxxxxxxxxxxxx> [mailto:bvandyke@xxxxxxxxxxxxx]
Sent: Saturday, March 01, 2003 1:35 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re: Automated
BacktestingHi 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!> > dI 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@xxxx] > 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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