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Mark,
First a statement ... There may !? be some ?! validity to walk
forward testing using either an anchored original data point or a
moving window but clearly not with windows of 25 bars. Your
description of how you'd like to do this is the first I've ever seen
of this type i.e. pick which of the n-segments is best and use that.
This could be done but I would think ?! it would be best to either
use the entire period from the anchored first point to the current
bar or a sliding window of n bars from n-1 bars ago until the current
bar to base the optimization on. If your looking for a methodology
that actually might have some promise to it I suspect one of these
methods would provide better results. If you are just looking to
dispell what was in Active Trader then I think that 1. They've
pretty much already done this themselves by virtue of the size of
their window and 2. this MIGHT be a waste of time in that no one here
will really benefit from the outcome except that one is sure not to
use AT's methods.
Your thoughts ?
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "MarkF2" <feierstein@xxxx> wrote:
> 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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