[amibroker] Re: Is the Walk forward study useful?

["Gonzaga" <gonzagags@xxxxxxxx>]

Thanks for the answers
To Keith McCombs :

I use 3 months IS test and 1 month step, this is, 1 month OS test. My system is an end-of day-system, so I don't have many buyings and sellings.. 
Perhaps  I should make bigger the IS period?

anyway, my parameter behaves well in any period. Of course it is an optimized variable, but it doesn't fail in ten years, in none of those ten years, over 500 stocks.. a very long period..
So, couldn't it be better, on the long run, than the parameters optimized with the WF study?
(In fact, I am using it now, the optimized variable)
That's my real question..

To dloyer123:
I haven't understood the meaning of the Walk Forward Efficency, and seems interesting.
can you explain it better, please..?

 
 
--- In amibroker@xxxxxxxxxxxxxxx, "dloyer123" <dloyer123@xxx> wrote:
>
> I have had similar experiences.  I like to use WFT to estimate what Pardo call's his "Walk Forward Efficency", or the ratio of the out of sample WF profits to just optimizing over the entire time period.  
> 
> A good system should have as high a WFE as posible.  Systems with a poor WFE tend to do poorly in live trading.
> 
> If you have a parm set that works well over a long period of live trading, then you are doing well!
>




------------------------------------

**** 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/