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But how about doing it the way I described? I would prefer to
minimize human interaction and maximize automation. Imagine testing a
system in this manner on all SP500 stocks, for example.
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> This would be simple enough to do if you think about it terms of how
> many bars you are going to use for a lookback period and then armed
> with the results of optimization of that period how far ahead from
> that point in time you are going to trade before you reoptimize. As
> Dingo says this could be done with automation or it could all be done
> interally in AB/AFL/ABTool. This is a different form of Score and
> Rank if you will where instead of scoring and ranking individual
> issues in a portfolio on a rolling basis you are scoring and ranking
> parameters for your timing system on a rolling basis.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> > perhaps I can help - contact me privately at dingo at udsnet dot
> com.
> >
> > d
> >
> > -----Original Message-----
> > From: MarkF2 [mailto:feierstein@x...]
> > Sent: Tuesday, June 17, 2003 4:00 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Walk-Forward Out of Sample (OOS) Testing
> >
> >
> > Jayson, I believe Owen wants to use AB for walk-forward, out of
> sample
> > testing. I'd love to be able to do this also but lack the
> programming
> > skills. 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 go
> > something like this:
> >
> > Let's say you're testing a simple system on MSFT where price crosses
> > over and under a moving average so you're optimizing only one
> > parameter, length, to keep things simple. The loop code would allow
> > two inputs: 1) # of segments to break data into and 2) # of segments
> > to use for initial optimization. Let's say you choose 10 and 3. AB
> > would divide MSFT data into 10 equal segments, then do the initial
> > optimization on the first 3. It would then take the best performing
> > length 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
> AB
> > would reoptimize the system over segments 1-4 and use the best
> > parameter on segment 5 (the second OOS segment), recording length
> used
> > and result, then reoptimize over segments 1-5, use the best
> parameter
> > on segment 6, etc.
> >
> > What this would do is automatically tell you how robust your system
> > concept 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
> the
> > window
> > > forward 25 days to test the results.......
> > >
> > > Regards,
> > > Jayson
> > > -----Original Message-----
> > > From: Owen Davies [mailto:owen5819@x...]
> > > 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 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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