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I hope that's not what Active Trader is doing but IMHO 25 bars of
data is hardly enough to accurately test anything on.
--- In amibroker@xxxxxxxxxxxxxxx, "Owen Davies" <owen5819@xxxx> wrote:
> 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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