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<FONT face=Tahoma color=#0000ff
size=2>Thanks! I'll read it since I already own it and haven't gotten
around to it yet... sigh!
<FONT face=Tahoma color=#0000ff
size=2>
<FONT face=Tahoma color=#0000ff
size=2>d
<FONT
face=Tahoma size=2>-----Original Message-----From: Avcinci
[mailto:avcinci@xxxxxxxxxxx] Sent: Saturday, March 01, 2003 2:08
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Re: Automated Backtesting
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
<FONT face=Tahoma color=#0000ff
size=2>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 > >
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