|
PureBytes Links
Trading Reference Links
|
Oops - I'm sorry. The formula should read:
WFE=(OOS CAR/OOS Buy&Hold CAR) / (IS CAR/IS Buy&Hold CAR)
Greetings,
Thomas
> Hello!
>
> I think Pardo's WFE is questionable. How can you compare IS CAR with OOS
> CAR if the concatenated IS and OOS periods are completely different? As an
> example, let's assume that you're doing a walk-forward test with the first
> IS period starting on, say, 01/01/1996 and ending 31/12/1999 and,
> consequently, the first OOS period starting on 01/01/2000. Considering how
> the markets developed from 2000, it's very probable that the IS CAR is
> completely different from the OOS CAR until today as market conditions
> changed dramatically. So comparing both CARs as absolute figures is like
> comparing apples with oranges as different market condition will also
> affect the performance of your trading system and, hence, the CARs over the
> concatenated IS and OOS periods.
>
> In my opinion, a better and more reasonable (but still no perfect) approach
> is comparing IS *Relative* CAR with OOS *Relative* CAR. The formula would
> be:
>
> WFE=(IS CAR/IS Buy&Hold CAR) / (OOS CAR/OOS Buy&Hold CAR)
>
> Just my 2 cents.
>
> Thomas
>
> On Saturday 09 May 2009 05:03:16 dloyer123 wrote:
> > --- In amibroker@xxxxxxxxxxxxxxx, Rajiv Arya <rajivarya87@xxx> wrote:
> > > I like to compute a ratio of the out-sample metric and divide it by the
> > > in-sample metric.
> > >
> > > And I like to look for multiple runs of out-sample/in-sample ratio to
> > > be above 0.5 and with little fluctuation.
> >
> > That is similar to Pardo's WFE (Walk forward efficiency), or a measure of
> > how much curve fitting inflated test results. Pardo suggests taking the
> > concatenated out of sample returns and divide by the result treating the
> > entire combined data set as in sample. Anything below 0.65 will probably
> > not trade well live. The higher, the better.
> >
> >
> >
> >
> >
> >
> >
> > ------------------------------------
> >
> > **** IMPORTANT PLEASE READ ****
> > This group is for the discussion between users only.
> > This is *NOT* technical support channel.
> >
> > TO GET TECHNICAL SUPPORT send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
> > http://www.amibroker.com/feedback/
> > (submissions sent via other channels won't be considered)
> >
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > Yahoo! Groups Links
>
> ------------------------------------
>
> **** IMPORTANT PLEASE READ ****
> This group is for the discussion between users only.
> This is *NOT* technical support channel.
>
> TO GET TECHNICAL SUPPORT send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
> http://www.amibroker.com/feedback/
> (submissions sent via other channels won't be considered)
>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> Yahoo! Groups Links
>
>
>
------------------------------------
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
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/
|