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Herman:
I would tend to think that it does tell
you something about the system under test.
If your results in the “Trade Window”
as it is called in this message are good, and they are “good” in
say 15 out of 18 periods or cycles, then is it not reasonable to assume that
the system under test is “robust” and is likely to perform ok (or
at least as good as the average performance achieved in all of the Trade
Windows).
Yes, I interpreted the msg to say to reoptimize
in each new “Test Window”, the walk forward test in each Trade
Window. I am not sure what would happen if the beginning date of the
first Test Window was anchored and the Test Window got progressively longer
after each cycle. It is also not clear what minimum number of trades must
be achieved for the Test Window and Trade Window to be of adequate length.
What did you mean by “spread of
optimization values”???
Ken
-----Original Message-----
From: Herman vandenBergen
[mailto:psytek@xxxxxxxx]
Sent: Saturday, March 01, 2003
9:14 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Re:
Automated Backtesting Walkforward Validation
The previous post read: "<font
color=black face="Courier New">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 <font color=blue
face="Courier New">(Does
this mean re-optimize?),<span
> 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."
<span
>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
>Hopefully I
misunderstood...
<span
>Herman.
<span
>-----Original Message-----
From: bvandyke
<bvandyke@xxxxxxxxxxxxx> [mailto:bvandyke@xxxxxxxxxxxxx]
Sent: March 1, 2003 11:48 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Automated
Backtesting Walkforward Validation
Hi d,<span
>
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@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
> >
> >
> >
> >
> > Yahoo! Groups
Sponsor
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