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Sorry for incomplete ref, I was not in the office.
The messages are
#43353, Automatic Walk-forward Optimization, Sat 6/28/2003
#43370, WFprogress, Sat 6/28/2003
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
> 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
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> > >
> > >
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