Looking at the table of contents for the original (as found on
Amazon),
the subject matter looks to be nearly identical between the
two
publications. That being the case, the newer publication would
probably be
the better bet.
Mike
--- In amibroker@xxxxxxxxxps.com,
"Mike" <sfclimbers@...> wrote:
>
> Ton,
>
> I was referring to the newer version published earlier this
year
"The
> Evaluation and Optimization of Trading Strategies".
>
> I have not read the first publication. However, it is my
>
understanding that the newer one includes the primary ideas
>
originally published in the older one.
>
> Mike
>
>
--- In amibroker@xxxxxxxxxps.com,
"Ton Sieverding"
> <ton.sieverding@> wrote:
>
>
> > Hi Mike,
> >
> > About which book of
Pardo are you talking. The first one from
1992
> or the newest
version from the beginning of this year ? I have
found
> two books.
Any suggestion ? I am looking for a little bit more
> general
background music concerning the Optimization topic and
> therefore have
the feeling that his first book called 'Design,
> Testing, And
Optimization Of Trading Systems' could bring me some
> extra light in
the tunnel ...
> >
> > Regards, Ton.
> >
>
>
> > ----- Original Message -----
> > From: Mike
> > To: amibroker@xxxxxxxxxps.com
> > Sent: Tuesday, April 22, 2008 8:50 PM
> > Subject:
[amibroker] Re: Difference betwee OOS and IS
> >
> >
> > Louis,
> >
> > Pardo's book is dedicated to
the process of designing a
strategy
> that
> > can then
be validated using walk forward analysis.
> >
> > The sole
purpose of the book is teach about the use, and
> importance,
>
> of walk forward. If you are having trouble understanding the
>
> concepts, this book may help to clarify things for you.
> >
> > Pardo's book has very little code at all, and none of it is
> > AmiBroker. It is strictly a book on the concept, not an
>
> implementation. The book tells you what to expect, and how to
>
> interpret the results.
> >
> > If you are having
trouble separating the concepts from the
> mechanics
> > as
presented in Howard's book, or just need more detail about
> what
> > the process is used for, then Pardo's book may help to answer
> your
> > questions. You will then better understand the
mechanics that
> Howard
> > presents, and appreciate that
AmiBroker now automates the
entire
> > process.
> >
> > Mike
> >
> > --- In amibroker@xxxxxxxxxps.com,
"Louis Préfontaine"
> > <rockprog80@> wrote:
> >
>
> > > Hi Howard,
> > >
> > > Thanks
for the code and the information. What exactly is
doing
> the
> > CMO
> > > Oscillator? I tried to look for
information on the web but
did
> not
> > find
>
> > anything convincing. It sure looks interesting and I will try
> to
> > find more
> > > about it, but right now
this look like mystery to me.
> > >
> > > Something I
wasn't sure in your book, is what you mean by
> objective
> >
> function. Do you mean choosing between RAR, or CAR, or K-
Ratio,
> > etc.? I
> > > know this sound like a stupid question
after I've read 75% of
> the
> > book,
> > >
but... well... I wasn't sure.
> > >
> > > I will try
to follow the steps as you write them below.
> However, I
> >
am still
> > > worried about MCS; I mean, in the steps you don't
use any
random
> > > optimization and you said not to worry
about them. I say that
> > because it
> > > seems to me
that in the walk-forward it can be easy to get
> lucky
> >
with some
> > > very good curve-fitting results. And the more
complex the
> rules,
> > the more
> > > chances
there is to get a very lucky result! Well, this was
my
> > whole
point:
> > > in the walk-forward I only get to see the absolute
best
return,
> and
> > if there
> > > is no
random optimization I can't rule out the luck factor!
> > >
> > > Thanks!
> > >
> > > Louis
>
> >
> > > p.s. Mike, thanks for the suggestion. Is Pardo's
book really
> good
> > and is
> > > using afl
code or codes that can be implemented easily to
> Amibroker?
>
> >
> > > 2008/4/22, Howard B
<howardbandy@>:
> > > >
> > > > Hi
Louis --
> > > >
> > > > If the system you are
working with is actually the
crossover
> of
> > two
simple
> > > > moving averages, the results you get will
probably not be
> very
> > good. I
> > > >
often suggest a simple system when I am trying to make a
> point
> > that requires
> > > > a system and I do not want
the definition of the system to
> > confuse the other
> >
> > point. You will need a system that is more sophisticated to
>
show
> > good
> > > > results. Try the CMO Oscillator
in the code posted below.
> > > >
> > > > // CCT
CMO Oscillator.afl
> > > > //
> > > > // A CMO
Oscillator
> > > > //
> > > > //
> >
> >
> > > > // Two variables are set up for
optimizing
> > > >
CMOPeriods=Optimize("pds",61,1,101,5);
> > > >
AMAAvg=Optimize("AMAAvg",36,1,101,5);
> > >
>
> > > > // The change in the closing price is
summed
> > > > // into two variables -- up days and down
days
> > > > SumUp =
Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),CMOPeriods);
>
> > > SumDown =
Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0),CMOPeriods);
>
> > >
> > > > // The CMO Oscillator
calculation
> > > > CMO = 100 * (SumUp - SumDown) / (SumUp +
SumDown);
> > > >
> > > >
//Plot(CMO,"CMO",colorGreen,styleLine);
> > >
>
> > > > // Smooth the CMO Oscillator
> > >
> CMOAvg = DEMA(CMO,AMAAvg);
> > > > // And smooth it
again to form a trigger line
> > > > Trigger =
DEMA(CMOAvg,3);
> > > > // Buy when the smoothed
oscillator crosses
> > > > // up through the trigger
line
> > > > Buy = Cross(CMOAvg,Trigger);
> >
> > // Sell on a downward cross, or 6 days,
> > > > //
whichever comes first
> > > > Sell = Cross(Trigger,CMOAvg)
OR BarsSince(Buy)>=6;
> > > >
> > > >
Buy = ExRem(Buy,Sell);
> > > > Sell =
ExRem(Sell,Buy);
> > > >
> > > >
Plot(C,"C",colorBlack,styleCandle);
> > > >
>
> > >
PlotShapes(Buy*shapeUpArrow+Sell*shapeDownArrow,
> >
> > IIf(Buy,colorGreen,colorRed));
> > > > Plot
(CMOAvg,"CMOAvg",colorGreen,
> > > >
style=styleLine|styleOwnScale|styleThick,-100,100);
>
> > > //Figure 20.2 CMO Oscillator
> > > >
>
> > > Now -- back to the issue of validating a trading system
--
> > > >
> > > > Tomorrow is out-of-sample.
You want to increase your
> confidence
> > that your
>
> > > trading system will be profitable when you trade it
tomorrow.
> In
> > order to
> > > > do
this, observe what happens after you have optimized a
> system
>
> over an
> > > > in-sample period, then tested it on the
immediately
following
> out-
> > of-sample
> >
> > data. The automated walk forward process helps you do this.
>
> Every step
> > > > gives one more observation of the
in-sample to out-of-
sample
> > transition. If
> > >
> the cumulative out-of-sample results are satisfactory to
you,
> > then you have
> > > > increased confidence that
your real trades are likely to be
> > profitable. No
> >
> > guarantees. The best we can hope for is a high level of
>
> confidence.
> > > >
> > > > At this point,
do not worry about Monte Carlo.
> > > >
> > > >
Just concentrate on:
> > > >
> > > > 1. Select
the objective function that You feel most
> comfortable
> >
with.
> > > > 2. Design and test the systems of interest to
You.
> > > > 3. Experiment to find the length of the in-sample
period.
> > > > 4. Perform the automated walk forward
analysis.
> > > > 5. Examine the out-of-sample results.
>
> > > 6. Decide whether or not to trade your system.
> >
> >
> > > > Thanks for listening,
> > > >
Howard
> > > >
www.quantitativetradingsystems.com
> > > >
>
> > >
> > > >
> > > > On Tue, Apr 15,
2008 at 7:03 PM, Louis Préfontaine
> >
<rockprog80@>
> > > > wrote:
> > >
>
> > > > > 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
> > > > >
> > >
>
> > > >
> > > >
> > >
>
>
>