|
PureBytes Links
Trading Reference Links
|
Louis,
in the IS period your system is optimized, then the best values from the
optimization are used to perform a test over the IS and OOS periods.
If the OOS results are worse than the IS results, this means that the
system doesn't generalize well enough. BTW: This topic is very well
explained in chapter 20 of Howard's book. I also suggest to look at
http://www.amibroker.com/kb/2008/02/12/getting-started-with-automatic-walk-forward-optimization/ .
I must say, that walk forward testing has completely changed my way of
thinking. It's much easier to see now if a trading system is worth a
second look.
Greetings,
Thomas
> Hi,
>
> I've been experimenting with walking-forward, and I have some
> questions regarding how it works.
>
> I ran a complete random optimization or buying/selling using the
> variables I set (a MCS in fact), and systematically OOS results were
> worst than IS. I don't understand how it works, because whatever if
> the sampling is IS or OOS it is always the same variables that are in
> place.
>
> Anyone could explain how this work?
>
> Thanks,
>
> Louis
------------------------------------
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|