Bisto
--- In
amibroker@xxxxxxxxx ps.com, "Gonzaga"
<gonzagags@xx .> wrote:
>
> Oh, sorry, I am lost in
translation ... ;-)
> Yes I meant trades of my IS period.
> I've
got about 70 trades in my IS period, three months.
> BUT, I buy stocks
in a multiposition way.This means, that my hole capital divides among
several stocks purchased simultaneously.
> So, in my statistics, I use
to average my trades. When I use maxopenpositions= 7, I use to average
my results every 7 trades.
> Considering that, my trades in three
months are not 70, but less ( not exactly 70/7, but less than 70)
>
> If I use maxopenposition= 1, which is, invest all my capital
every trade, in three months I would have about 29 trades.
> So I
suppose I have to increase the IS period.. isn`t it?
>
>
> --- In
amibroker@xxxxxxxxx ps.com, "Bisto"
<bistoman73@> wrote:
> >
> > What do you mean with
"I don't have many buyings and sellings"?
> >
> > If you
have less than 30 trades in an IS period, IMHO, you are using a too short
period due to not statistical robustness --> WFA is misleading, try a
longer IS period
> >
> > Bisto
> >
> >
--- In
amibroker@xxxxxxxxx ps.com, "Gonzaga"
<gonzagags@> wrote:
> > >
> > > 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@xxxxxxxxx ps.com, "dloyer123"
<dloyer123@> 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!
>
> > >
> > >
>
>
>