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Thanks, Dimitris, for the walk-forward link. I must have missed this.
Regarding your second point, will that method work in portfolio backtester
for a basket of stocks rather than for one stock? For example, suppose I
wished to optimize my system on the N100 stocks at each 2-year period
beginning in, say, 1993. I select the top 7 stocks in that period and
optimize. I then do a walk-forward test on those 7 stocks for 1995 (the
1-year OOS period after the first IS opt period) and save the composite
equity curve developed for trading those 7 top stocks in 1995. Then, in the
next optimization period, 1994-1995, I repeated the process, this time
getting 7 different top stocks. I generate an OOS equity curve for those 7
stocks for the period 1996. I keep repeating this, saving each 1-year OOS
composite equity, then at the end concatenating all those OOS composite
equity curves together. Can this be done with the code you developed?
TIA
Al Venosa
Original Message:
-----------------
From: DIMITRIS TSOKAKIS TSOKAKIS@xxxxxxxxx
Date: Fri, 17 Oct 2003 12:55:34 +0000
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Optimization -- again
<html><body>
<tt>
Al,<BR>
I have posted the walk-forward optimization formulas at <BR>
<a
href="http://groups.yahoo.com/group/amibroker/message/43353";>http://groups.y
ahoo.com/group/amibroker/message/43353</a><BR>
As for the concatenation, a similar problem was solved at the recent <BR>
IP, part II, through the STEP and Cum(STEP) functions.<BR>
Dimitris Tsokakis<BR>
<BR>
--- In amibroker@xxxxxxxxxxxxxxx, "advenosa@xxxx" <advenosa@xxxx> <BR>
wrote:<BR>
> One more question for anyone. In his optimization and walk-forward <BR>
scheme,<BR>
> Howard suggested optimizing in 2-year increments and walk-forward <BR>
testing<BR>
> in the 1-year OOS period immediately following each 2-year opt, <BR>
then saving<BR>
> the OOS equity curve and concatenating all the OOS equity curves at <BR>
the end<BR>
> of the exercise. How would you do the concatenation in AFL? Anyone <BR>
have any<BR>
> ideas? <BR>
> <BR>
> TIA<BR>
> <BR>
> Al Venosa<BR>
> <BR>
> --------------------------------------------------------------------<BR>
> mail2web - Check your email from the web at<BR>
> http://mail2web.com/ .<BR>
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