|
PureBytes Links
Trading Reference Links
|
Ok, I was talking abour another problem.
What does mean in the chart the lines Buy&Hold IS and Buy&HoldOOS?
For I have the same amount of dollars in OOS equity and Buy&Hold
equity.. And the usual behaviour for just Buy and hold is to be less
than a good system..
there's something I misunderstand..
bye
--- In amibroker@xxxxxxxxxxxxxxx, Thomas Ludwig <Thomas.Ludwig@xxx> wrote:
>
>
> > Thanks Thomas. Very good collection of parameters.
> > I see my system falls from CAR 64 in sample, to CAR 30 out-of-sample.
> > But I think something must be wrong: The result of the buy and hold
> > is exactly the same that the OS result.
> > Do you have this problem?
>
> That OOS results are worse than IS results is normal. You should also
> bear in mind that the concatenated IS period is not identical to the
OOS
> period. That's why IS and OOS CARs are not directly comparable.
Example:
> If you start your walk-forward optimization on 01/01/2000 with a, say,
> 2-year IS period it's obvious that both CARs are very different. That's
> why in my code Walk-forward Efficiency (WFE) is NOT calculated as OOS-
> CAR/IS-CAR (as Robert Pardo suggests) but rather as RELATIVE IS-
> CAR/RELATIVE OOS-CAR (where Relative CAR is IS-CAR or OOS-CAR
divided by
> the benchmark CAR for the respective period). This makes more sense,
> IMHO.
>
> > And, I had already seen the gfx code in the Amibroker page. It's
> > fine, but it does not show DD, and total CAR.. although I didn't test
> > the trick of changing the code to see OS equity line..very good..
>
> I think you should use both my and TJ's code - they save different
> purposes. MaxDD as a percentage is shown for IS and OOS in my code. And
> if you right-click the pane and open the parameters window you can also
> plot DD and MaxDD as absolute figures both for IS and OOS. But I
strongly
> suggest that you plot it only for, e.g., OOS (and disable all the IS
> plots - or vice versa!) - otherwise the pane becomes too cluttered.
> Particularly if you also plot IS and OOS Relative Performance ... ;-)
>
> Greetings,
>
------------------------------------
**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
*********************
TO GET TECHNICAL 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/
|