Ton,
Yes, I read Aronson's book. In my opinion, a strong
understanding of
chapters 3-6 would benifet any trader. However, I think
that upon
completing the book, many traders would not know how to apply
the
lessons to their own strategy development. In other words, would not
know what to do next, and would not have the tools necessary to act.
I
participated in a number of lengthy threads on this topic,
including
messages 120676 and 120718.
I think that you will find Pardo's book to
be more practical with
respect to being able to immediately apply the
lessons to your own
strategy development. I think that upon completing the
book, most
traders would know exactly what to do next. And, now that walk
forward is built in to AmiBroker, traders will have all the tools
necessary to act without needing to purchase any other
software.
Mike
--- In amibroker@xxxxxxxxxps.com,
"Ton Sieverding"
<ton.sieverding@...> wrote:
>
>
Yes that's what I did. Looking in the table of contents. But since
they
are almost identical I had the feeling that I was missing
something.
Anyway I will buy the newer version of the book ... Thanks
again. BTW did
you read David Aronson's book about "EBTA" ? If so do
you think the book
from Pardo will tell me more about
Optimalization ? Or better give me an
extra Optimalization hint ...
>
> Regards, Ton.
>
>
----- Original Message -----
> From: Mike
> To: amibroker@xxxxxxxxxps.com
> Sent: Tuesday, April 22, 2008 10:08 PM
> Subject: [amibroker]
Re: Difference betwee OOS and IS
>
>
> 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
> > > > > >
> > >
> >
> > > > >
> > > > >
>
> > >
> > >
> >
>