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Hello Herman,
I'm not quite sure where your source of confusion is...but
Walkforward Validation (WFV) is a well known technique (e.g.
discussed in Pardo's book as someone pointed out)of optimizing your
data in "segments" so to speak.
Yes, you reoptimize your trading system every period to answer your
question below. Programs that can do WFV simply over all the "trade
window periods", summarize the total data vs buy&hold (total
cumulative). All your historical data if you note, is optimized
in "segments" except the initial Test Window.
If that is promising, then one goes to the next step i described
below, in order to use WFV on future data. It's simply a technique
to hopefully avoid over curve fitting.
Perhaps others on the Board can clarify if more clearly for you. Or
you might look at the program Inference Trade i referred to that has
such capability. I believe they offer a free 60day evaluation.
Hope this helps some.
Bill
--- In amibroker@xxxxxxxxxxxxxxx, "Herman vandenBergen" <psytek@xxxx>
wrote:
> 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."
>
> 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...
>
> Hopefully I misunderstood...
>
> Herman.
>
>
> -----Original Message-----
> From: bvandyke <bvandyke@xxxx> [mailto:bvandyke@x...]
> Sent: March 1, 2003 11:48 AM
> 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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