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Chuck,
By "Stuck in the mud" do you mean you have yet to find a system that
is viable using this type of approach ? Work I did some years ago
seemed to suggest this but the engine I was using wasn't really
powerful enough to thoroughly test this theory to a satisfactory
conclusion.
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> I'll probably only confuse things, but I'll describe how my walk-
forward
> code works. I would share the program with you, but it is some 2
million
> lines of C++ and has nothing to do with AFL, AB, ABTool, etc. I
use this
> approach only for futures markets, where I do have different system
> parameters for each commodity.
>
> I WOULD NEVER DREAM OF USING DIFFERENT PARAMETERS FOR STOCKS,
EITHER UNIQUE
> TO EACH STOCK OR UNIQUE TO DIFFERENT TIME PERIODS.
>
> In any event, I can tell my backtester a start point, an in-sample
window
> size and an out-of-sample window size. I also tell it which of
over 200
> objective functions I want to use when making the decision as to
which
> parameter set to use for the next out-of-sample data. An objective
> function might be something as simple as KRatio, or
Netprofit/Drawdown,
> whatever. The in-sample window is used for "learning" a
parameter set and
> then my software measures how well the system does out-of-sample.
I can
> tell you now that more than 95% of the systems tested in this
manner are
> rejected at this stage.
>
> I cannot envisage another way to do walk-forward testing, but then
I've been
> stuck in the mud using this approach since 1960.
> -----Original Message-----
> From: Fred [mailto:fctonetti@x...]
> Sent: Wednesday, June 18, 2003 2:06 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Walk-Forward Out of Sample (OOS) Testing
>
>
> 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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