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[amibroker] Re: Walk-Forward Out of Sample (OOS) Testing



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It's okay ... I think Mark thinks it's over my head ...

--- In amibroker@xxxxxxxxxxxxxxx, "b519b" <b519b@xxxx> wrote:
> Fred,
> 
> I think you and Mark have misunderstood each other over the use of 
> the terms "segment" and "period". Like you, I first read these as 
> synonyms, but after re-reading Mark's post, it appears they are 
> completely distinct.
> 
> Reading them as synonyms gives the following:
> Test 3 time segments. Select the best period (=time segment) and 
use 
> the parameter setting from that segment. As you point out such an 
> approach would problematic.
> 
> Reading period and segment as being distinct gives:
> Test the 3 time segments. Select the best period (=parameter 
> setting), ie, select the look-back period in the sample code which 
> gives the best profit factor for all 3 of the time segments. Use 
> this parameter (ie, look back "period") for time segment 4. And so 
> on.
> 
> I think Mark has the second approach in mind. But Mark can correct 
> me if I am wrong.
> 
> b


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