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Thanks Dingo.
My head is a bit thick. Sometimes it takes a double dose for a message to penetrate my skull.
I will try my hand at automating this via an external VBscript.
--- In amibroker@xxxxxxxxxxxxxxx, dingo <waledingo@xxx> wrote:
>
> You're doing exactly what TJ said you couldn't do. You must automate AB in
> an outside script not within AFL.
>
> d
>
> On Wed, May 13, 2009 at 8:33 PM, ozzyapeman <zoopfree@xxx> wrote:
>
> >
> >
> > Are we allowed to loop OLE objects within AFL? Amibroker seems to go crazy
> > when I try to do so.
> >
> > I can easily automate optimizations individually by specifying individual
> > dates, and then applying the indicator. But when I try to loop through a
> > series of dates, it's as if Amibroker tries to run all the optimizations at
> > once. The AA window opens and closes in rapid succession, and never
> > completes a single optimization.
> >
> > If we can't put the actual objects inside a loop, how else can we batch-run
> > a group of sequential optimizations? I know I can dump a range of dates to a
> > log file. But to read those dates back, and run the optimizations, still
> > requires looping, so I don't know what else to try.
> >
> > I've tested everything else in my code, and it works fine - the dates
> > increment correctly, the loop starts and stops when I want, etc. So then I
> > pasted in the actual AA objects, but it does not work, as described above.
> >
> > For the sake of simplicity, I have stripped out most of the code that
> > calculates the dates and what not, and am just pasting the essence of the
> > loop here.
> >
> > What is the correct general approach in order to make this *Walk-Forward
> > Opt-Opt* code work? Any input much appreciated:
> >
> >
> > // AFL Code setting up necessary vars, objects and functions goes here
> >
> > // More code here ensures the following loop only initiated upon user input
> > // by manually changing a parameter in parameter window:
> >
> >
> > *for* ( U = BegISDate; U <= EndISdate; U = U + StepIS )
> > {
> >
> > // AFL code for properly calculating from and to dates goes here
> >
> > AA.LoadFormula( Formula1 ); // load formula from external
> > file
> > AA.ApplyTo = 1; // use current symbol
> > AA.RangeMode = 3; // use 'From' and 'To' dates
> > AA.RangeFromDate = ISfromDateStr;
> > AA.RangeToDate = IStoDateStr;
> > AA.Optimize( 0 );
> >
> >
> >
> > // AFL code for properly calculating from and to dates goes here
> >
> > AA.LoadFormula( Formula2 ); // load formula from external
> > file
> > AA.ApplyTo = 1; // use current symbol
> > AA.RangeMode = 3; // use 'From' and 'To' dates
> > AA.RangeFromDate = OOSfromDateStr;
> > AA.RangeToDate = OOStoDateStr;
> >
> > AA.Optimize( 0 ); // run Optimize for the
> > portfolio
> >
> > }
> >
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@> wrote:
> > >
> > > My research methods tend to be convoluted, just like my thought
> > processes. But basically, I am optimizing on OOS data, to simply look for
> > clues and inspiration to reverse engineer a better method of choosing OOS
> > parameters for a specific trading system. The thought being that if one
> > never re-optimizes on the OOS data, and studies the results, how would you
> > ever know that your system truly chose the "best" values, during the IS
> > step, for the OOS data?
> > >
> > > The danger of course is one of curve fitting, and engineering the trading
> > system based on this "glimpse into the future". But my approach is general
> > enough that this should not happen.
> > >
> > > It is simply a method to gain clues on how well the system is choosing
> > parameters, as opposed to relying solely on the equity curve, and associated
> > reports. I am still in the middle of this experiment, and have yet to come
> > to any solid conclusions. It merely looks promising at this juncture for one
> > of my unorthodox systems, yet failed to yield anything fruitful for my
> > other, more normal, systems.
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, Howard B howardbandy@ wrote:
> > > >
> > > > Greetings Ozzy, and all --
> > > >
> > > > Optimization on the out-of-sample data? Tell us more.
> > > >
> > > > Thanks,
> > > > Howard
> > > >
> > >
> >
> >
> >
> >
>
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