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<SPAN
class=263205418-17062003>Owen,
Am I
over simplifying by suggesting you simply use the From-To range settings in
AA?
<SPAN
class=263205418-17062003>
<SPAN
class=263205418-17062003>Example choose 12/1/2002-12/25/2002 to optimize then
simply move the window forward 25 days to test the
results.......
Regards,
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: Owen Davies
[mailto:owen5819@xxxxxxxxxxxx]Sent: Tuesday, June 17, 2003 2:04
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Annoying programming problem: ideas please?Active
Trader has taken to doing something I've always considered BS.
Somearticles--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 dataand then do an out-of-sample test for the next month or so to "prove"
howwell it works. Over time, this has come to irritate me enough that
I'd liketo do a long-term study, either to prove that it's nonsense or to
learnsomething 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 itagain? 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 meanto test breakouts in the direction of an existing trend
and close at the endof the day, so there should be no problem with days that
break out in onedirection, reverse, and break out in the other; a day that
reverses and endsbadly will just count as a loss. Also, I can do the
conversion to intradaydata myself, rather than ask others to hand me the
complete package. All Ineed 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 skillto handle it with external programming.Many
thanks.Owen DaviesSend
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