Re: [amibroker] Puzzled about Walk-Forward Optimization results, AmiBroker Email List Archive

Hi Thomas --

Were the optimal values for HDays and LDays the same for all the periods? If so, then I would expect the equity curves to have the same shape. But if there are some periods where HDays and LDays are different, then setting those to be constant for the entire test period means that HDays and LDays are suboptimal in some periods. Or am I missing something?

Thanks,
Howard

On Sat, Sep 6, 2008 at 6:09 AM, Thomas Ludwig <Thomas.Ludwig@xxxxxx> wrote:

Hello,

I've done a simple WFO and stumbled upon an issue which I'm unable to
explain. First of all, this is the simple system I tested:

HDays=Optimize("High-Days",14,14,14,1);
LDays=Optimize("Low-Days",14,14,14,1);

stop=Optimize("ATR-Stop-Days",14,4,5,1);
mult=Optimize("ATR-Mult.",2,3,5,1);

Buy = Cross(C,Ref(HHV(H,HDays),-1));
Sell = Cross(Ref(LLV(L,LDays),-1),C);
Buy = ExRem(Buy, Sell);
Sell = ExRem(Sell, Buy);
Cover=Short=0;

ApplyStop(stopTypeTrailing, stopModePoint, mult*ATR(stop), True, True );

Buy and sell is at open on next day.

Note: I deliberately fixed the HDays and LDays parameters in order to
better see the effect of the WFO. Thus, only the stop and mult
parameters could change during optimization.

In the first attached picture WFO2.jpg you see the concatenated IS- and
OOS equity curves. So far, so good.

Now I replaced the Optimize() functions for HDays and LDays with
Param() - I didn't alter anything else! You see the result in WFO3.jpg.

IS equity changed from 148253.98 in the first test to 142124.97 in the
second one and OOS equity from 98300.64 to 61157.95!

How can replacing just the first two Optimize functions with Param for
parameters that did not change during optimization anyway lead to these
completely different results?

Could someone please reproduce these results?

Regards,

Thomas