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Hi Dingo,
My mistake...the website is www.inferencetrade.com
Yes, i've used their program and I've used the WFV technique some.
It's like all things, sometimes the technique seems to help avoid
overoptimization, and on some securities, it didn't seem to help
much. I do like it as a technique to have to help avoid over curve
fitting.
Bill
--- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> 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.
>
> d
>
> BTW I tried a google on the terms "Inference Trader" and several
> variations with nothing popping up that seemed to be what you're
> referring to.
>
>
> -----Original Message-----
> From: bvandyke <bvandyke@xxxx> [mailto:bvandyke@x...]
> Sent: Saturday, March 01, 2003 2:48 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [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, 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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