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LOL ... okay have fun ...
--- In amibroker@xxxxxxxxxxxxxxx, "MarkF2" <feierstein@xxxx> wrote:
> Fred- Don't quote me out of context. That was an EXAMPLE. You left
> out the part before it: "Let's say... you choose to break the data
> into 10 segments and do the initial optimization on the first three
> segments." Also that there would be SEVEN iterative optimizations
and
> OOS testings from there. I really don't think you can help. Thanks
> anyway.
>
> Mark
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > Mark,
> >
> > Fine ... I can ignore all of that except ...
> >
> > "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)" ... if that
> > doesn't imply picking which of the n segments is best or the
> > parameter values used therein then can you tell me what that does
> > mean ? By period do you mean value for the parameter ?
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "MarkF2" <feierstein@xxxx>
wrote:
> > > Fred, Please read my post again more carefully. I've said
nothing
> > > about Active Trader, 25 bars, or picking which of the n
segments is
> > > best. If the description I've provided isn't clear enough,
then I
> > > don't know what else to say.
> > >
> > > Mark
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > > > 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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