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TJ,
thanks for your answer.
>
> You are running *EXHAUSTIVE* opt, aren't you?
Yes, I am.
> And you are using latest version of AB?
Yes, 5.16.
The funny thing is that I repeated these steps today and that probem
didn't accur any more ... I don't know what to say - I'm absolutely
sure that I didn't alter anything. Perhaps a caching problem???
BTW: In the jpg's of my first posting you can see again that some
metrics calculated had {EMPTY} values. I had mentioned this phenomenon
before and also filed a bug report (#1463). Have you been able to look
into this?
Thanks again.
Best regards,
Thomas
>
> 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
> >
> > ------------------------------------
> >
> > 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
>
> ------------------------------------
>
> 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
>
>
>
------------------------------------
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