|
PureBytes Links
Trading Reference Links
|
Hi Howard,
thanks for answer.
No, you aren't missing something ;-) You are right that HDays and LDays
are suboptimal in some periods. I did it this way as one step among a
couple of others in order to separate the effect of the stop parameters
on the WF equity curve. I had realized that I had applied WFO in a too
naive manner before and am now trying to get some deeper insights or a
better feeling how to apply it.
I had read about WFO already in the first edition of Pardo's book and
loved the excellent introduction to this topic in your book. When TJ
implemented it in AB I began eagerly applying it to many system I had
available as AFL - and was disappointed as the OOS equity curve was
simply too bad in most cases. I varied the IS and OOS period lengths in
numerous ways in order to get more reasonable results but that didn't
really help (although I still hope that TJ will make them optimizable,
too). After a while I realized what I had done wrong: I had naively
applied too wide parameter ranges in many cases. This resulted in high
volatility of the "optimum" parameters in the WFO output table. They
had adapted themselves perfectly to the respective IS periods but
failed to be profitable in the subsequent OOS periods. And I learned
from this experience that even with a very simple system overfitting is
possible even in a WFO if the parameter ranges are too wide
(particularly in combination with a possibly too short IS test period
that prevents generalization).
So what I'm doing now: I'm WF testing again the systems I regard
promising. Before doing a WFO I'm doing a simple optimization over the
whole length of the time series and take the optimum parameters as a
starting point. In the second step I define parametes ranges rather
close to these starting points. In the third step I'm modifying these
parameters ranges very carefully. This is rather time-consuming, but
with this approach I've got considerably better OOS equity curves for
some systems than I had got ever before.
Do you know a better technique that helps to get a grip on this problem?
I don't know if IO does anything about it - I have to look into it
again.
Thanks again - and I'm looking forward to your new book(s).
Greetings,
Thomas
> 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
------------------------------------
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|