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I can't say as I see any benefit in anchoring the front data point as
this causes current data to be less and less important as time goes
along. In addition I don't see why with a properly written AFL there
would be any need for human intervention. Basically you supply the
system and it does the rest much like the way PortfolioTrader that I
posted uses a user supplied scoring routine to determine which
securities to invest this would need to decide what parameter values
to use as time rolls along.
--- In amibroker@xxxxxxxxxxxxxxx, "MarkF2" <feierstein@xxxx> wrote:
> 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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