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Fred, OK, here's a more detailed description.
The code as I envision it would allow the walk-forward OOS testing of
a system with one optimization parameter in an exploration. For
example:
per = optimize("period",10,2,20,2);
Buy = Cross(C,EMA(C,per));
Sell = Cross(EMA(C,per),C);
Short = Sell;
Cover = Buy;
The loop code would have an area to paste the system and would allow
two additional inputs: 1) # of segments to break the data into and 2)
# of segments to use for the initial optimization. If the system must
be optimized *by the loop*, then it would also need a mechanism for
inputting the optimization parameters. It may be easier to write a
separate routine for sliding optimization windows, I don't know. I'm
just describing what I want. But I can tell you that in most cases,
sliding windows are just too noisy to give a meaningful assessment of
*overall system robustness* (which is what I'm testing for) because
you will end up optimizing on a bearish segment and then OOS testing
on a bullish or ranging segment, etc.
Let's say the system doesn't have to be optimized by the loop and you
choose to break the data into 10 segments and do the initial
optimization on the first three segments.
The code would divide the data into 10 (near)equal segments, then do
the initial optimization on the first 3. It would then take the best
performing period (I'd like this in terms of profit factor) 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 period
used and 2)the result (profit factor). Then it would reoptimize the
system over segments 1-4 and use the best period on segment 5 (the
second OOS segment), recording the period used and result, then
reoptimize over segments 1-5, use the best period on segment 6, etc.
At bare bones minimum, the exploration would have 3 columns: Ticker,
Period, and Profit Factor, with a row for each OOS segment. Columns
for the dates of each segment would be nice also, if doable. So if
there are 7 OOS segments and you're testing a system on 100 stocks,
you'd get an exploration with 700 rows.
Let me know if any questions.
Mark
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> Mark,
>
> It was not my intention to be a smartass although I can see that's
> how your taking my response. If you and possibly others are
> interested in this sort of AFL, I'd be happy to look into writing
one
> as there may be benefits that I get out of this as well. I would
> certainly think that it would be possible to implement whether the
> period of optimization had a sliding window or an anchored
beginning
> based on a parameter. If you'd like to proceed please state
> precisely what your requirements are. After that I will probably
> have questions.
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "MarkF2" <feierstein@xxxx> wrote:
> > 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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