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TJ
Thanks for the Walk Forward Optimization.
My next project after reading H Bandy's book was to create Excel
templates to receive my OOS data and concatenate an equity curve.
Truly amazing.
You have just saved me countless hours of work.
Regards
ChrisB
Tomasz Janeczko wrote:
>
> Hello,
>
> A new beta version (5.05.1) of AmiBroker has just been released.
>
> http://www.amibroke r.com/devlog/ 2008/02/12/ amibroker- 5051-beta-
> released/
> <http://www.amibroker.com/devlog/2008/02/12/amibroker-5051-beta-released/>
>
> HIGHLIGHTS of this version:
>
> 1. automatic Walk-Forward Optimization, with IS and OOS equity charts
> 2. new functionality in GetCursor* AFL functions allowing
> interactive control (see sample in the read me)
> 3. automatic formula formatting - “Code Prettify” in the AFL
> Editor: Edit->Prettify selection
> 4. Improved scaling of semi-log charts
>
> This version includes also features introduced earlier (in 5.03) such
> as new interval and symbol linking.
>
> BELOW you will find some additional information about walk-forward
> optimization introduced in this beta.
> Best regards,
> Tomasz Janeczko
> amibroker.com
> *WALK FORWARD OPTIMIZATION*
> The automatic Walk forward optimization is a system design and
> validation technique in which
> you optimize the parameter values on a past segment of market data
> ("in-sample" ), then test the system forward in time on data following
> the optimization segment ("out-of-sample" ). You evaluate the system
> based on how well it performs on the test data ("out-of-sample" ), not
> the data it was optimized on.
> To use Walk-Forward optimization please:
> 1. Go to Tools->Automatic Analysis
> 2. Click Settings button, then switch to "Walk-Forward tab"
> 3. Here you can see Walk forward settings for In-sample optimization,
> out-of-sample backtest
> "Start" and "End" dates mark initial period begin / end
> This period will be moved forward by "Step" until the "End" reaches
> the "Last" date.
> The "Start" date can move forward by "step" too, or can be anchored
> (constant) if "Anchored" check is on.
> If you mark "Use today" then "Last" date entered will be ignored and
> TODAY (current date) will be used instead
>
> By default an "EASY MODE" is selected which simplifies the process of
> setting up WF parameters.
> It assumes that:
> a) Out-of-sample segment immediatelly follows in-sample segment
> b) the length of out-of-sample segment equals to the walk-forward step
> Based on these two assumptions the "EASY" mode takes in-sample END
> date and sets
> out-of-sample START date to the following day. Then adds in-sample
> STEP and this becomes out-of-sample END date.
> In-sample and Out-of-sample step values are set to the same values.
> The "EASY" mode guarantees correctness of WF procedure settings.
> In the "ADVANCED" mode, the user has complete control over all values,
> to the extent that
> they may not constitute valid WF procedure.
> The interface allows to selectivelly disable in-sample and
> out-of-sample phases using checkboxes at top
> (for special things like runnign sequential backtests without
> optimization) .
> All settings are immediatelly reflected in the PREVIEW list that shows
> all generated IS/OOS segments
> and their dates.
>
> The "Optimization target" field defines the optimization raport COLUMN
> NAME that
> will be used for sorting results and finding the BEST one. Any
> built-in column can be used
> (as appears in the optimization output), or you can use any custom
> metric that you define
> in custom backtester. The default is CAR/MDD, you can however select
> any other built-in metric from the combo.
> You can also TYPE-IN any custom metric that you have added via custom
> backtester interface.
>
> 4. Once you defined Walk-Forward settings, please go to Automatic
> Analysis and
> 5. press the dropdown ARROW on the Optimize button and select "Walk
> Forward Optimization"
> This will run sequence of optimizaitons and backtest and the results
> will be displayed in
> the "Walk Forward" document that is open in the main application frame.
> When optimization is running you can click "MINIMIZE" button on the
> Progress dialog
> to minimize it - this allows to see the Walk Forward output during the
> optimization steps.
> *IN-SAMPLE and OUT-OF-SAMPLE combined equity*
> Combined in-sample and out-sample equities are available by
> ~~~ISEQUITY and ~~~OSEQUITY composite tickers
> (consecutive periods of IS and OOS are concatenated and scaled to
> maintain continuity of equity line - this approach assumes that you
> generally speaking are compounding profits)
> To display IS and OOS equity you may use for example this:
> PlotForeign ( "~~~ISEQUITY" , "In-Sample Equity" , *colorRed* ,
> *styleLine* );
> PlotForeign ( "~~~OSEQUITY" , "Out-Of-Sample Equity" , *colorGreen* ,
> *styleLine* );
> *Title* = "{{NAME}} - {{INTERVAL}} {{DATE}} {{VALUES}}" ;
> *INTERACTIVE "BUTTONS" SAMPLE*
> New functionality in GetCursor* functions:
>
> GetCursorXPosition( mode = 0 )
> GetCursorYPosition( mode = 0 )
>
> mode = -1 - (old compatibility mode) - x - value gives X-coordinate in
> DateTime format. y - value gives PRICE. Values are reported no matter
> where is the mouse (i.e. may refer to window different than current if
> mouse is outside current window).
> mode = 0 - (default) x - value gives X-coordinate in DateTime format.
> y - value gives PRICE. Returns NULL if mouse is outside current window
> mode = 1 - x, y - are mouse coordinates expressed in screen PIXELS.
> Returns NULL if mouse is outside current window
>
> GetCursorMouseButto ns new output flag = 8 - means that current chart
> just received mouse click
>
> Code sample:
>
> //////////// ///////// ///////// ///////// ///////// /
> // Low-level graphic + Interactive GUI control sample
> // This example shows:
> // 1. how to draw "buttons"
> // 2. how to handle mouse clicks
> // 3. how to implement event call-backs
> //////////// ///////// ///////// ///////// ///////// ///
>
> Version ( 5.04 ); // requires 5.04 or higher
>
> //////////// ///////// ///////// ///////// ///////// ////
> // Part 1: DRAWING TABLE OF BUTTONS
> //////////// ///////// ///////// ///////// ///////// //
> GfxSetOverlayMode ( 2 );
> // formatted text output sample via low-level gfx functions
>
> CellHeight = 20 ;
> CellWidth = 100 ;
> GfxSelectFont ( "Tahoma" , CellHeight/ 2 );
>
> GfxSetBkMode ( 1 );
>
> *function* PrintInCell( string, row, Col )
> {
> GfxDrawText ( string, Col * CellWidth, row * CellHeight, (Col + 1 ) *
> CellWidth, (row + 1 ) * CellHeight, 0 );
> }
>
> GfxSelectPen ( *colorBlue* );
> *for* ( i = 0 ; i < 10 && i < *BarCount* ; i++ )
> {
> *for* ( k = 0 ; k < 5 ; k++ )
> {
> PrintInCell( "Button " + i + "," + k, i, k );
> }
> GfxMoveTo ( 0 , i * CellHeight );
> GfxLineTo ( 5 * CellWidth, i * CellHeight );
> }
> GfxMoveTo ( 0 , i * CellHeight );
> GfxLineTo ( 5 * CellWidth, i * CellHeight );
>
> *for* ( Col = 1 ; Col < 6 ; Col++ )
> {
> GfxMoveTo ( Col * CellWidth, 0 );
> GfxLineTo ( Col * CellWidth, 10 * CellHeight );
> }
>
>
> //////////// ///////// ///////// ///////// ///////// /////////
> // Part 2: MOUSE BUTTON CALL BACKS
> //////////// ///////// ///////// ///////// ///////// ///////// /
> *Title* = "" ;
>
> *function* DrawButton( px, py, Clr1, Clr2, text )
> {
> Col = floor ( px / CellWidth );
> Row = floor ( py / CellHeight );
>
>
> GfxGradientRect ( Col * CellWidth, row * CellHeight, (Col + 1 ) *
> CellWidth, (row + 1 ) * CellHeight,
> Clr1, Clr2 );
>
> PrintInCell( text + " " + row + "," + Col, row, Col );
>
> }
>
> *function* OnLMouseButton( x, y, px, py)
> {
> _TRACE ( "LButton x = " + DateTimeToStr ( x ) + " y = " + y );
>
> DrawButton( px, py, ColorHSB ( 50 , 255 , 255 ), ColorHSB ( 90 , 255 ,
> 255 ), "just clicked" );
> }
>
> *function* OnRMouseButton( x, y, px, py)
> {
> _TRACE ( "RButton x = " + DateTimeToStr ( x ) + " y = " + y );
> }
>
> *function* OnMMouseButton( x, y, px, py)
> {
> _TRACE ( "MButton x = " + DateTimeToStr ( x ) + " y = " + y );
> }
>
> *function* OnHoverMouse( x, y, px, py)
> {
> _TRACE ( "LButton x = " + DateTimeToStr ( x ) + " y = " + y );
>
> DrawButton( px, py, ColorRGB ( 230 , 230 , 230 ), ColorRGB ( 255 , 255
> , 255 ), "mouse over" );
> }
>
> *function* OnLButtonIsDown( x, y, px, py)
> {
> _TRACE ( "LButton x = " + DateTimeToStr ( x ) + " y = " + y );
>
> DrawButton( px, py, ColorHSB ( 190 , 255 , 255 ), ColorHSB ( 210 , 255
> , 255 ), "down" );
> }
>
> //////////// ///////// ///////// ///////// ///////// /////////
> // Part 3: GENERAL PURPOSE EVENT HANDLER (reusable! - may be put into
> "include" file)
> //////////// ///////// ///////// ///////// ///////// ////////
>
> *function* EventHandler( )
> {
> *local* b, x, y, px, py;
> b = GetCursorMouseButto ns ();
>
> // retrieve co-ordinates in date/value units
> x = GetCursorXPosition ( 0 );
> y = GetCursorYPosition ( 0 );
>
> // retrieve co-ordinates in pixel units
> px = GetCursorXPosition ( 1 );
> py = GetCursorYPosition ( 1 );
>
> *if* ( b & 8 ) // flag = 8 is set when window just received mouse click
> {
> // not-null means clicked in THIS (current) window
> *if* ( b & 1 ) OnLMouseButton( x, y, px, py );
> *if* ( b & 2 ) OnRMouseButton( x, y, px, py );
> *if* ( b & 4 ) OnMMouseButton( x, y, px, py );
> }
> *else*
> {
> *if* ( b == 0 ) OnHoverMouse( x, y, px, py ); // no button pressed
> *if* ( b == 1 ) OnLButtonIsDown( x, y, px, py ); // button pressed
> }
> }
>
> EventHandler( );
> RequestTimedRefresh ( 1 );
>
>
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