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Re: Re[2]: [amibroker] Re: Backtest - WF Optimization



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Title: Re[2]: [amibroker] Re: Backtest - WF Optimization
Exactly.

Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: Herman
To: a a
Sent: Tuesday, September 09, 2008 2:12 PM
Subject: Re[2]: [amibroker] Re: Backtest - WF Optimization

Why? I think we should respect their privacy.


h



Tuesday, September 9, 2008, 8:04:07 AM, you wrote:


>

For our benefit can you tell us who?

 

Alternatively they could come forward and introduce themselves.

 

I am sure we can all learn a lot from them.



----- Original Message ----

From: Tomasz Janeczko <groups@xxxxxxxxxxxxx>

To: amibroker@xxxxxxxxxxxxxxx

Sent: Tuesday, September 9, 2008 4:38:21 PM

Subject: Re: [amibroker] Re: Backtest - WF Optimization



FYI: There are dozens of members on this list who work in fin institutions

(fund managers, analysts, etc).


Best regards,

Tomasz Janeczko

amibroker.com

----- Original Message ----- 

From: "buandbe" <buandbe@xxxxxx com>

To: <amibroker@xxxxxxxxx ps.com>

Sent: Tuesday, September 09, 2008 12:24 PM

Subject: [amibroker] Re: Backtest - WF Optimization


> It's good to know institutional model developers such as yourself are

> participating in this forum.

> Your experience may not be directly applicable to most of us since we

> cannot hold a few hundred stocks in a portfolio.

> Nonetheless, the fact that a person who used industrial strength

> backtesting applications chose AmiBroker can be an endorsement of sort.

> Looking forward to your input...

> --- In amibroker@xxxxxxxxx ps.com, "sidhartha70" <sidhartha70@ ...> wrote:

>>

>> Well, over the years (12) I worked for various banks... different

>> models, developed differently and different houses depending on the

>> mandate. The ideas behind the model I was illustrating there started

>> development at Merrill Lynch... and ultimately ended up being traded

>> by Barclays Capital & then Nomura.

>> 

>> --- In amibroker@xxxxxxxxx ps.com, "buandbe" <buandbe@> wrote:

>> >

>> > 

>> > Very interesting.

>> > 

>> > Would you care to name the investment Bank ?

>> > 

>> > TIA

>> > 

>> > 

>> > --- In amibroker@xxxxxxxxx ps.com, "sidhartha70" <sidhartha70@ > wrote:

>> > >

>> > > Ara,

>> > > 

>> > > When I was working for an investment bank, the parameters (and

>> > > universe) were optimized each month from the previous 6 months data

>> > > backtest (rolled forward each month obviously). These parametere

> were

>> > > then used to trade live for the coming month. This is how all my

>> > > backtesting was done (i.e. OOS) and all my live trading.

>> > > 

>> > > In this sense, the paramters were indeed 'adaptive'.

>> > > 

>> > > --- In amibroker@xxxxxxxxx ps.com, "Ara Kaloustian" <ara1@> wrote:

>> > > >

>> > > > WF testing seems like a logical step to take in creating a trading

>> > > system. While I am not suggesting that we don't do it, I'd like to

>> > > clear my understanding.

>> > > > 

>> > > > It seems to me that we are looking to create a system with

>> > > parameters that are valid "for all time". If a test is succesful in

>> > > OOS period, then we can assume that we have found something that

>> > > remains applicable for the future - at least in this one instance.

>> > > > 

>> > > > Given that the markets change all the time, the obvious conclusion

>> > > for me is that we need indicators that are adaptive... and that any

>> > > that do not adapt will simply not work in OOS.

>> > > > 

>> > > > The issue of providing feedback from equity curve seems valid

> and it

>> > > can provide a warning about system starting to not perform as

> expected

>> > > ... so regardless of type of indicators used, this kind of

> feedback is

>> > > good!.

>> > > > 

>> > > > The point I am making is that there has been very little said

> about

>> > > adaptive indicators ... 

>> > > > 

>> > > > maybe that is the holy grail ... and therefore untennable ...

>> > > >

>> > >

>> >

>>

> ------------ --------- --------- ------

> 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.amibroke r.com/devlog/

> For other support material please check also:

http://www.amibroke r.com/support. html

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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




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