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I was looking for help in implementing what I described, not a
critique (there IS a benefit in "anchoring" the front data point if
you consider the results accordingly, BTW) and not a general statement
that it can be done "with a properly written AFL." Thanks anyway.
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> 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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