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The
previous post read: "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 (Does this mean
re-optimize?), 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."
<FONT
face="Courier New" color=#000000 size=3>
<FONT
face="Courier New" color=#0000ff size=3>If i interpret this correctly than this
really is an assessment of the optimization process itself. If so it has liitle
to do with the trading system under test and has no value in predicting the
effectivenes of the last (all previous values have no relevance) optimization
values in the trading system on the next future period. There is not even talk
about measuring the spread of optimization values...
<SPAN
class=440094701-02032003>
<SPAN
class=440094701-02032003>Hopefully I misunderstood...
<SPAN
class=440094701-02032003>
<FONT
face="Courier New" color=#0000ff size=3>Herman.
<FONT face=Tahoma
size=2>-----Original Message-----From: bvandyke
<bvandyke@xxxxxxxxxxxxx> [mailto:bvandyke@xxxxxxxxxxxxx]Sent:
March 1, 2003 11:48 AMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re: Automated
Backtesting Walkforward ValidationHi 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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