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No,
not all. I have found plenty of trading systems over the year and my CTA
firm has a decent track record since 1985.
<FONT face=Arial color=#0000ff
size=2>
What I
meant by "stuck in the mud" was that I haven't tried any other way of doing walk
forward testing. There may be better ways, but I'm not aware of
any.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Fred
[mailto:fctonetti@xxxxxxxxx]Sent: Wednesday, June 18, 2003 2:30
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Walk-Forward Out of Sample (OOS)
TestingChuck,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@xxxx]> 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> >
> Yahoo! Groups
Sponsor> > > > Send BUG REPORTS to
bugs@xxxx> Send SUGGESTIONS to
suggest@xxxx>
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