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b,
Actually you bring up some interesting points one of which I hadn't
initially thought of but of course that is why I was asking the
questions I was i.e.
1. Are we testing some optimizable system oriented parameters for
some fixed user selectable lookback period or window which is either
based on an anchored first data point or is a moving window as time
goes along ... or ...
2. Are we testing a static system for some optimizable lookback
window ? ... or ...
3. All of the above ? ... or ...
4. Something else ?
I suspect it's #1 as I'm not sure optimizing the lookback period has
merit ... or at least not more than once per full run i.e. we might
want to see how changing the size of the lookback period or window
size affects the results overall as we might want to see how using
different lengths of out of smaple data affects the results before we
reoptimize but I don't think having varying lookback periods or
window sizes has merit, do you ? This "feels" way to curve fit.
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> 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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