|
PureBytes Links
Trading Reference Links
|
<FONT face=Arial color=#0000ff
size=2>perhaps I can help - contact me privately at dingo at udsnet dot
com.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>d
<FONT
face=Tahoma size=2>-----Original Message-----From: MarkF2
[mailto:feierstein@xxxxxxxxx] Sent: Tuesday, June 17, 2003 4:00
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Walk-Forward Out of Sample (OOS) TestingJayson, I
believe Owen wants to use AB for walk-forward, out of sampletesting.
I'd love to be able to do this also but lack the programmingskills.
Can anyone help? I think this would be incredibly useful!!!What I'd
like to do can, I believe, be done with loops and would gosomething like
this:Let's say you're testing a simple system on MSFT where price
crossesover and under a moving average so you're optimizing only
oneparameter, length, to keep things simple. The loop code would
allowtwo inputs: 1) # of segments to break data into and 2) # of
segmentsto use for initial optimization. Let's say you choose 10 and
3. ABwould divide MSFT data into 10 equal segments, then do the
initialoptimization on the first 3. It would then take the best
performinglength and test it on segment #4 (which is the first OOS
segment). Then it would record two things for this and every other OOS
segment:1) the length used and 2)the result (I'd like profit
factor). Then ABwould reoptimize the system over segments 1-4 and
use the bestparameter on segment 5 (the second OOS segment), recording
length usedand result, then reoptimize over segments 1-5, use the best
parameteron segment 6, etc. What this would do is
automatically tell you how robust your systemconcept is over the OOS
segments (4-10 in this case).Mark --- In
amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:>
Owen,> Am I over simplifying by suggesting you simply use the>
From-To range settings in AA?> > Example choose
12/1/2002-12/25/2002 to optimize then simply move thewindow>
forward 25 days to test the results.......> > Regards,>
Jayson> -----Original Message-----> From: Owen Davies
[mailto:owen5819@xxxx]> Sent: Tuesday, June 17, 2003 2:04 PM>
To: amibroker@xxxxxxxxxxxxxxx> Subject: [amibroker] Annoying
programming problem: ideas please?> > > Active Trader has
taken to doing something I've always consideredBS. Some>
articles--at least one a month of late--optimize an intraday
tradingsystem,> usually some variation on a volatility breakout,
over a month or soof 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 thatI'd like> to do a long-term
study, either to prove that it's nonsense or tolearn> something new
and highly unlikely. So:> > Can anyone think of a way to
optimize a technique on, say, 25 barsof data,> test it on the next
25 bars, and then step the window forward anddo it> again?
I'd settle for re-optimizing daily on the previous 25 (orwhatever)>
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 atthe end> of the
day, so there should be no problem with days that break outin one>
direction, reverse, and break out in the other; a day that reversesand
ends> badly will just count as a loss. Also, I can do the
conversion tointraday> 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 havethe skill> to handle it with external
programming.> > Many thanks.> > Owen
Davies> > > Yahoo!
Groups
Sponsor>
ADVERTISEMENT> > > > > Send BUG REPORTS to
bugs@xxxx> Send SUGGESTIONS to suggest@xxxx>
-----------------------------------------> Post AmiQuote-related
messages ONLY to: amiquote@xxxxxxxxxxxxxxx> (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
--------------------------------------------> Check group FAQ
at:> <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html>
> Your use of Yahoo! Groups is subject to the Yahoo! Terms of
Service.Send
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
ADVERTISEMENT
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|