|
PureBytes Links
Trading Reference Links
|
Robert Pardo "Design, Testing, and Optimization of Trading Systems", Wiley
& Sons, 1992. Great book.
Al V.
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
dingo
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, March 01, 2003 2:01
PM
Subject: RE: [amibroker] Re: Automated
Backtesting
can
you point me to some more info on "Walkforward Optimization"??
<FONT face=Tahoma color=#0000ff
size=2>
<FONT face=Tahoma color=#0000ff
size=2>d
<FONT
face=Tahoma size=2>-----Original Message-----From: bvandyke
<bvandyke@xxxxxxxxxxxxx>
[mailto:bvandyke@xxxxxxxxxxxxx] Sent: Saturday, March 01, 2003
1:35 PMTo: <A
href="">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>
> > > > Yahoo! Groups
Sponsor > >
ADVERTISEMENT> > <<A
href="">http://rd.yahoo.com/M=243376.3035052.4359433.1927555/D=egroupweb/S=1705>
632198:HM/A=1414910/R=0/*<A
href="">http://ad.doubleclick.net/jump/N879.ameritrade.>
yahoo/B1054521.29;sz=300x250;adc=zhs;ord=1046531329358607?>
> > <<A
href="">http://us.adserver.yahoo.com/l?M=243376.3035052.4359433.1927555/D=egrou>
pmail/S=:HM/A=1414910/rand=487282882>
> > Send BUG REPORTS to bugs@xxxx> Send SUGGESTIONS to
suggest@xxxx> -----------------------------------------> Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx > (Web
page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
--------------------------------------------> Check group FAQ
at:> <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > Your use of Yahoo! Groups is subject to the Yahoo! Terms
of Service> <<A
href="">http://docs.yahoo.com/info/terms/>
.Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend
SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page:
<A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Send
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
ADVERTISEMENT
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|