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Al,
What I did with the IP codes is to select the top stock at each IP,
calculating the Equity from the beginning of my data and then trade
the selected stock up to the next IP.
The next variation will be to calculate the Equity for a certain
number of lookback IPs, in order to come close to the recent stock
behavior. There are some coding problems but I think they will be
solved.
Then, the procedure will be transferred to multi-parametric problems,
it is terra ingognita for me now but I will give it a try.
The final target will be to select the top3 [or top5] at each IP, I
expect more robust solutions [with less profits, perhaps] when I
trade 2 or 3 stocks instead of one at a time and see the average
profit. It is a long way and I need to feel safe in every step.
Some results are quite promissing, we shall see...
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "advenosa@xxxx" <advenosa@xxxx>
wrote:
> 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@xxxx
> 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://gr
oups.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>
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