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This
is very interesting! Have you used this approach and if so did you have
any success? I have been comtemplating doing something like this but
didn't know it had a name. Basically I was going to see if I could figure out a
method of determing if/wehn a trading system ran out of gas and if the time it
took to degrade could be predicted.
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<FONT face=Tahoma color=#0000ff
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BTW I
tried a google on the terms "<FONT face="Courier New" color=#000000
size=3>Inference Trader" and several
variations with nothing popping up that seemed to be what you're referring
to.
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-----Original Message-----From:
bvandyke <bvandyke@xxxxxxxxxxxxx> [mailto:bvandyke@xxxxxxxxxxxxx]
Sent: Saturday, March 01, 2003 2:48 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re: Automated
Backtesting Walkforward Validation
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, untilthe
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 withWFV optimizing the paramaters on a chunk of
data "Test window" length long, to attempt to recreate this performance in
futuretrading, 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@xxxx] > 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@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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