[amibroker] Re: What after optimization is done ...

["Mike" <sfclimbers@xxxxxxxxx>]

Hi,

What you are describing is called Walk Forward Optimization. There is 
much information on its usage, strengths and weeknesses. Just do a 
quick web search. Also, Howard does cover in his book how you would 
do it using AmiBroker if you find it suitable for your needs:

http://www.quantitativetradingsystems.com/book.html

Mike

--- In amibroker@xxxxxxxxxxxxxxx, "scourt2000" <stevehite@xxx> wrote:
>
> 
> A question that I always had is:  after you get your optimized 
> variables, how long are they generally good to use?  
> 
> Do you continually run the optimization on new data coming in like 
> once a month and then change your variables again to match the best 
> results?  With so much more available CPU bandwidth coming out with 
> these quad cores, I wonder if it makes more sense to have dynamic 
> optimizations rather than all of this static stuff.
> 
> There's some products based on swarm intelligence which sounded 
like 
> in interesting idea for dynamic optimization.  But all kinds of 
> warning bells go off with me when someone wants to charge 1000's of 
> dollars and not be willing to show their own audited brokerage 
> statements when the tout level on what the program can do is so 
high.
> 
>  
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "DrazenStricek12" <dstricek12@> 
> wrote:
> >
> > 
> > 
> > 
> > Hi
> > could someone enlight me on this problem:
> > 
> > After Optimization is done ,for example :
> > X = Optimize("X", 10, 1, 20, 1);
> > Y = Optimize("Y", 100, 1, 200, 1);
> > Z = Optimize("Z", 1000, 1, 2000, 1);
> > 
> > how  to integrate into Trading system 5 sets of best Optimization 
> results:
> > Set1: X=10;Y= 115; Y= 1350;
> > Set2: X=11;Y= 100; Y= 1450;
> > Set3: X=13;Y= 150; Y= 1445;
> > Set4: X=10;Y= 112; Y= 1500;
> > Set5: X=10;Y= 105; Y= 1100;
> > 
> >  The trading system should execute only when the preselected best 
> sets conditions are met.
> > 
> > Thank you for any help
> > 
> > Drazen
> >
>




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