|
PureBytes Links
Trading Reference Links
|
Bill,
I have posted in the past the walk-forward optimization.
Here is the basic principle, for a restricted period optimization
[year2002 in the example]
of a Stochastic o/b, o/s system :
k=Optimize("k",40,30,50,10);
d2002=DateNum()>=1020101 AND DateNum()<1030101;
LastTradingBar=(d2002==0 AND Ref(d2002,-1))*DateNum();
Buy=d2002*Cross(StochD(),k);
Sell=d2002*Cross(StochD(),70) OR DateNum()==LastTradingBar;
Hit now Optimize for
*current stock
*all quotations
AA will see only 2002 dates.
It is important to exit any open trade by the end of the test period,
else the last probable Open trade will last for ever !!
The solution is that{ OR DateNum()==LastTradingBar } statement.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "wavemechanic" <wd78@xxxx> wrote:
>
> ----- Original Message -----
> From: "Stephane Carrasset" <nenapacwanfr@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Friday, September 12, 2003 11:55 AM
> Subject: [amibroker] Re: Optimize function
>
>
> > Bill,
> >
> > do you mean if you Backtest for example NDX on the last 500 bars
> > do you want optimize an indicator on the 500-400 bars?? then keep
the
> > optimized value on the 400-1 bars ??
>
> I was not thinking of that, but your scenario is along the same
lines and
> would be a another important option. I was actually thinking of
the problem
> from 180 degrees around. Specifically, for a dataset of, for
example, 1000
> bars optimize only over the last 500 and display the equity curve
for that
> range. It is possible to only consider (and display) the equity
for a
> specified number of bars (e.g., the last 500 bars), but I don't see
how to
> restrict optimization to those bars. Certainly not with the
available
> arguments for Optimize.
>
> >
> > Stephane
> >
> > > It is my understanding that the Optimize function operates on
all
> > data. So,
> > > for example, if one is looking at equity for a portion of the
data
> > (e.g.,
> > > Equity(0, 1, 100) Optimize still operates on all data. Does
anyone
> > have a
> > > work-around that will force Optimize to only consider a
specified
> > range of
> > > data?
> > >
> > > Thanks.
> > >
> > > Bill
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
> > -----------------------------------------
> > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > --------------------------------------------
> > Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> > Your use of Yahoo! Groups is subject to
http://docs.yahoo.com/info/terms/
> >
> >
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for Your HP, Epson, Canon or Lexmark
Printer at Myinks.com. Free s/h on orders $50 or more to the US & Canada. http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/l.m7sD/LIdGAA/qnsNAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|