[amibroker] Fitness Criteria that incorporates Walk Forward Result

["Paul Ho" <paultsho@xxxxxxxxxxxx>]

Howard calls it the objective function. Fred calls it Fitness. What I 
meant by Fitness Criteria is a mathematical function on which fitness 
or goodness of the system is judged, and is used as an objective 
criteria to compare different systems, as a score in optimization. 

My currrent question is - So why not incorporate the fitness in walk 
forward analysis into our fitness criteria? What I am talking about 
is to formalise the visual inspection process. I am not proposing to 
use out of sample data for optimization purposes. Rather the 
parameter set that has been previously optimized is forward tested 
and a fitness is obtained and incorporated into the original criteria 
to form a composite fitness. 

For example. My current composite fitness is the geometric average of 
In sample fitness and Out of sample fitness divided by the standard 
deviation (?) of In sample and out of sample fitness. 

Are there anybody doing something is this area? What are your 
thoughts?

If you are wondering why not use visual inspection. My plan is to use 
the computer to do most of the work and thats why I need a fitness 
criteria.

Cheers
Paul.


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