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<FONT face=Tahoma color=#0000ff
size=2>Thanks Al! Just what I needed - one more thing to try..
#8-]
<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 3:24
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Re: Automated Backtesting Walkforward Validation
Bill and Dale,
The procedure Bill just described is very similar to that described in
Pardo's book. Performing rolling 2- or 3-year optimizations with walk-forward
periods about 20-25% of the optimized period duration will give you similar
results described by Bill.
Al V.
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=bvandyke@xxxxxxxxxxxxx
href="">bvandyke
<bvandyke@xxxxxxxxxxxxx>
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, March 01, 2003 2:47
PM
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, 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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