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Active Trader has taken to doing something I've always considered BS. Some
articles--at least one a month of late--optimize an intraday trading system,
usually some variation on a volatility breakout, over a month or so of data
and then do an out-of-sample test for the next month or so to "prove" how
well it works. Over time, this has come to irritate me enough that I'd like
to do a long-term study, either to prove that it's nonsense or to learn
something new and highly unlikely. So:
Can anyone think of a way to optimize a technique on, say, 25 bars of data,
test it on the next 25 bars, and then step the window forward and do it
again? I'd settle for re-optimizing daily on the previous 25 (or whatever)
bars. Whatever is easiest.
For the sake of simplicity, something that runs on EOD data will do. I mean
to test breakouts in the direction of an existing trend and close at the end
of the day, so there should be no problem with days that break out in one
direction, reverse, and break out in the other; a day that reverses and ends
badly will just count as a loss. Also, I can do the conversion to intraday
data myself, rather than ask others to hand me the complete package. All I
need is some way to optimize on a window.
Offhand, I can't see any way to do it within AFL, and I don't have the skill
to handle it with external programming.
Many thanks.
Owen Davies
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