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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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