Re: [amibroker] Puzzled about Walk-Forward Optimization results

["Tomasz Janeczko" <groups@xxxxxxxxxxxxx>]

Thomas,

You are running *EXHAUSTIVE* opt, aren't you?
And you are using latest version of AB?

Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message ----- 
From: "Thomas Ludwig" <Thomas.Ludwig@xxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, September 06, 2008 3:09 PM
Subject: [amibroker] Puzzled about Walk-Forward Optimization results


> 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
> 
> ------------------------------------
> 
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> 
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> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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> 
> 
> 
>

------------------------------------

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