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[amibroker] Re: question/ help



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I would point you to the following article:

Walk Forward Tested System Is Better than the Best
Optimized One - Larry Williams

It looks like the history of technical analysis has been largely 
influenced by optimization. That is, we studied the past, found 
something that looked significant, then optimized rules and 
procedures to trade the observation in the future.

Sometimes that has worked. Often it has not. That's our dilemma. What 
are we to do? In the past, we answered these questions by doing more 
optimization, more curve fitting. Indeed, we treated historical data 
like prisoners of war. Our thesis was, if you beat them often enough 
they would reveal anything. Which is true, but you want them to 
reveal everything, not anything.

This brings me to one point. I think we will all make much more 
headway with system development by spending less time on optimization 
and more time on walking systems and procedures forward.

If on a walk forward test, the system holds up, we probably have 
something. And for sure, what we have will be better than the very 
best optimized system when it comes to real time trading. Hence, 
let's see what we can learn from each other about conducting walk 
forward tests. Any ideas will be appreciated by all, I am certain - 
L.W.

It's certainly correct that if done properly, walk forward testing 
has great value. For those of you not aware of walk forward testing, 
it's first setting your system parameters and then testing the 
results in the future using those pre-set parameters without benefit 
of additional or new optimization (re-optimization). Some people 
refer to that as "hypothetical real-time trading."

However, walk forward testing can in fact be a trap if done 
incorrectly. That's because there's a problem in deciding what pre-
set algorithm or parameters to use prior to the so-called walk 
forward test. If we arrive at those parameters by an optimization 
process, then we may be guilty of optimizing the walk forward test 
without even realizing we have done that. Another pitfall, is the 
great tendency to optimize the walk forward testing time period 
itself.

Possibly the only way to do it correctly, is to first arrive at a set 
of parameters and algorithm based on logic, experience, or sound 
trading principles that won't be subject to change. Then do a walk 
forward with no attempt to improve results via re-optimization.

A robust system is one that uses the least amount of parameters and 
still has a good chance of being profitable in the future with 
atleast 30 trades/year to be statistically significant with the in-
sample testing period of atleast say, 15 years to minimize the 
possibility of chance or chance alone being responsible for the 
excellent results - Pal

rgds, Pal

--- In amibroker@xxxxxxxxxxxxxxx, "goldwing01" <GOLDWING01@xxxx> 
wrote:
> Has any tried using databull for downloading data, it seems to look 
> better than yahoo or a least relieving yourself from the stress of 
> downloading problem.
> 
> Next question, optimization, why do I need to optimize my data and 
> when should I optimize my data 
> 
> Next question, I would like to have one screen to constantly look 
at 
> ^IXIC and another to move as I point and click at other symbols can 
> someone help with this please.


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