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[amibroker] Re: Interpreting walk-forward analysis



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Hi,

The idea behind walk forward is that you select the best combination 
of parameters in sample (IS), and then apply them to the next out of 
sample (OOS) period.

At the end of an OOS period, that OOS period becomes part of the next 
IS period and you repeat the process. Thus, the parameters to be used 
for each OOS period is awlays the best ones found from optimization of 
the preceding IS period.

So, in answer to your question; You do not have enough data. You must 
end with an IS period such that the optimal values can be used to 
enter the next OOS period.

That being said, the data you present seems incorrect, or at least 
incomplete. You are showing a series of (OOS, IS, OOS) which is not 
possible. How did you get the first OOS results without an IS period 
from which to determine the parameter values? Did you perhaps mean to 
write:

IS:  20, 4, 4 <-- gives param values for next OOS
OOS: 20, 4, 4 <-- based on preceding IS
IS:  25, 3, 6 <-- gives param values for next OOS

That being the case, then the correct values to use going forward OOS 
would be (25, 3, 6) since they were the best of the immediately 
preceding IS optimization.

Mike

--- In amibroker@xxxxxxxxxxxxxxx, "droskill" <droskill@xxx> wrote:
>
> Ok - so I have a system that has 3 parameters for optimization.  When
> I optimized it using backtesting, I get 3 parameters:
> 
> 20,3,4
> 
> Now, I walk-forward optimize it, and I get:
> 
> OOS: 20,4,4
> IS: 20,4,4
> OOS: 25,3,6
> 
> So my question is this - they all give decent numbers for returns, 
etc
> - so how would you approach figuring out which set to use?
> 
> Thanks!
>



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