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Hi d,
The best definition of Walkforward Validation (WFV) i saw is as
follows and from a program called Inference Trader. A google search
will show their website.
"WalkforwardValidation (WFV) is a method of back-testing a trading
system using walk-forward optimization/trading. It attempts to
simulate a more realistic trading system performance than the
Optimization only--whose trading results are overly optimistic. The
method is as follows:
Start with a fraction of the total historical data, say 10%, call
this the Test-Window, run the Optimizer on this data, apply the
trading system with these optimized parameters to the period of data
immediately following the Test-Window, say 5% of total historical
data, call this the Trade-Window, record only the Trade-Window
results, move the starting point of the Test-Window ahead by the
length of the Trade-Window, repeat, in this case 18 times, until
the walk-forward process reaches the end of the historical data, and
then report the cumulative Trade-Window results."
"If the results as described above are positive,then one usually to
get the parameters to use for future trading, uses the Optimizer.
Since you back-tested this strategy of optimize/trade with
WFV optimizing the paramaters on a chunk of data "Test window" length
long, to attempt to recreate this performance in future
trading, you want to set the optimization length equal to "Test
window" length. Now run the optimizer on your last "test window"
period of data to get the parameters for future trading. Now trade
for a period of time equal to the WFV "Trade Window Length", at the
end of this period, run the optimizer again then trade with the new
params, and so on."
Hope this helps,
Bill
--- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> can you point me to some more info on "Walkforward Optimization"??
>
> d
>
> -----Original Message-----
> From: bvandyke <bvandyke@xxxx> [mailto:bvandyke@x...]
> Sent: Saturday, March 01, 2003 1:35 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Automated Backtesting
>
>
> 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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