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Thanks Mike and sorry for the delay here. Zig is a good idea too, that
sounds like something you could get a bit closer to than true perfection
8 - ) I also like the idea of knowing what % of "perfection" I am
capturing... Re my thought about plotting the perfect eq line, it needs
to be scaled down to fit over the system eq line anyway so I wasn't looking
at the actual numbers, but I was interested in how close I can come to the
"perfect shape" and also interested in seeing when my line best tracks the
perfect line, i.e. does it go flat or down during periods of high volatility
when the most money is available, etc? Might be helpful to concentrate on
those periods or to get an idea when to retune, etc. Thanks again!
Steve
----- Original Message -----
From: "Mike" <sfclimbers@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, October 20, 2009 2:47 AM
Subject: [amibroker] Re: Is the Walk forward study useful?
> In "The Evaluation and Optimization of Trading Strategies", Robert Pardo
> describes Perfect Profit as "buying at every valley and selling at every
> peak".
>
> He suggests that Correlation between Equity Curve and Perfect Profit
> (CECPP) "is an excellent sole evaluation measure" (i.e. fitness function).
>
> Independant of fitness function, he further suggests that model efficiency
> can be measured by expressing Net Profit as a ratio of Perfect Profit;
> (Net Profit / Perfect Profit) * 100 with a value of 5 or greater being
> very good.
>
> What you describe in your note sounds very much like his model efficiency
> measure.
>
> If you simplify the idea a bit, using minimum price movements, you end up
> with Zig instead of Perfect Profit.
>
> Mike
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Steve Dugas" <sjdugas@xxx> wrote:
>>
>> Hi - For years I have been calculating stats for the reg line alongside
>> stats for the equity curve. But lately I have been wondering about the
>> value
>> of the regression line because, in real life there are volatile periods
>> where the market has more to give, and less volatile periods where there
>> just isn't as much available. Would it be better to shoot for capturing a
>> consistent % of what is available rather than just a consistent %? I was
>> thinking about how to account for this, the best I have come up with is
>> to
>> replace the reg line with a "perfect system eq line", i.e. one that looks
>> ahead to the next day and pre-positions itself so that it wins every day.
>> Then scale it down to see how the system eq line fits against the
>> "perfect
>> shape". Anyone have any thoughts whether this might be a better approach?
>> Thanks!
>>
>> Steve
>>
>>
>> ----- Original Message -----
>> From: "aarbee60" <rajbakshi@xxx>
>> To: <amibroker@xxxxxxxxxxxxxxx>
>> Sent: Monday, October 19, 2009 8:02 PM
>> Subject: [amibroker] Re: Is the Walk forward study useful?
>>
>>
>> > In terms of getting significantly different results by shifting IS and
>> > OOS
>> > windows, could it be the result of using ObjFun like CAR/MDD where the
>> > result would be different if the CAR and/or MDD changes significantly
>> > at
>> > the beginning or end of the IS window. In this case, as the IS or OOS
>> > window is shifted the ObjFun changes dramatically giving rise to the
>> > behaviour noted in the earlier posts of this thread.
>> >
>> > Curtis Faith in his "Way of the Turtle" refers to this behaviour in the
>> > context of designing more robust metrics. He has devised a couple of
>> > metrics that make a lot of sense. RAR% (Regressed Annual Return
>> > percentage) instead of CAR uses the beginning and ending values of
>> > linear
>> > regression line instead of those of the equity curve.
>> >
>> > For example if at the beginning of the IS or OOS window, the equity
>> > curve
>> > had a downturn and a significant upturn before the end of that window
>> > the
>> > CAR would be significantly higher. In the same case if the Linear
>> > Regression line was used, the CAR value would be less. In general, the
>> > RAR% value is less sensitive to equity changes at the beginning and end
>> > of
>> > the test. This is why Curtis Faith refers to it as a more Robust
>> > measure
>> > of performance.
>> >
>> > Anyone has any views on above. Would be very interested to hear.
>> >
>> > Cheers
>> > Raj Bakshi
>> >
>> > --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
>> >>
>> >> Hi Ton,
>> >>
>> >> I agree that the rule of thumb is subjective. So far, I've been
>> >> willing
>> >> to live with it.
>> >>
>> >> It appears that you and I have different expectations of IS/OOS window
>> >> sizes. I treat the calculation of walk forward window sizes as a
>> >> second
>> >> pass optimization, similar to a simple moving average (SMA) crossover
>> >> system.
>> >>
>> >> - There are two variables (e.g. IS length/OOS length vs. fast SMA/slow
>> >> SMA)
>> >> - An optimal combination is desired
>> >> - We use a fitness function to measure optimal (e.g. OOS:IS ratio vs.
>> >> CAR/MDD)
>> >>
>> >> This is how I try to satisfy your Aronson quote "Each strategy will
>> >> have
>> >> its own best values for IS/OOS periods".
>> >>
>> >> Upon finding an optimal CAR/MDD using fast SMA/slow SMA, we should
>> >> theoretically be able to trade that same optimal combination of fast
>> >> SMA/slow SMA over different time periods and expect to get a somewhat
>> >> stable CAR/MDD (subject to changing market conditions).
>> >>
>> >> I would not expect combinations of fast SMA/slow SMA to be stable
>> >> relative to each other. Looking at a 3-D graph for this crossover
>> >> system
>> >> will reveal peaks and valleys. Taking a single slice of that graph
>> >> (i.e.
>> >> holding slow SMA constant and varying only fast SMA) will reveal a
>> >> rising
>> >> and falling wave.
>> >>
>> >> So, I would expect exactly the same in the IS/OOS experiment you
>> >> describe. You are simply taking a slice of the 2 variable optimization
>> >> graph (holding IS constant and varying OOS). I would expect a rising
>> >> and
>> >> falling wave representing the peaks and valleys that would appear on
>> >> the
>> >> full 3-D graph.
>> >>
>> >> If I optimize the ratio of OOS:IS using IS length/OOS length, then I
>> >> expect to get a somewhat consistent OOS:IS ratio (subject to market
>> >> changes) when using that same optimal IS length/OOS length over
>> >> different
>> >> data ranges. I don't expect to get a stable OOS:IS ratio using a fixed
>> >> IS
>> >> length and variable OOS length.
>> >>
>> >> Mike
>> >>
>> >> --- In amibroker@xxxxxxxxxxxxxxx, "Ton Sieverding" <ton.sieverding@>
>> >> wrote:
>> >> >
>> >> > Thanks for your patience Mike -)
>> >> >
>> >> > 1. I know Pardo disagrees with Aronson. And yes I am also using
>> >> > Pardo's
>> >> > rule of thumb. But a rule of thumb without a scientific explanation
>> >> > is
>> >> > still a rule of thumb and therefore subjective. The result of this
>> >> > is
>> >> > when taking 1/8 in stead of 1/3, I am getting a completely different
>> >> > results. That's what Aronson tells me. So I do not understand why
>> >> > Pardo
>> >> > disagrees with Aronson ... Of course I should ask him. And I will
>> >> > ...
>> >> >
>> >> > 2. Here you are telling me what Aronson says : "Each strategy will
>> >> > have
>> >> > its own best values for IS/OOS periods". But trying to find the best
>> >> > values is empirical and therefore without having a 'good theory' why
>> >> > your are getting these values is highly subjective. Pardo is not
>> >> > giving
>> >> > me this good theory and Aronson tells me this good theory does not
>> >> > exist ...
>> >> >
>> >> > 3. With regard to our topic, it's not so important which objective
>> >> > function you are using for the WalkFoward. In general I use the
>> >> > CAR/MDD. But whatever OF gives you the same random WalkForward
>> >> > results.
>> >> > Where of course by definition you should use a return/risk related
>> >> > OF
>> >> > ...
>> >> >
>> >> > 4. The way I am analyzing the WalkForward result is simple. I am
>> >> > calculating the differences between the IS and OOS results in
>> >> > percentages from OOS. Then I am taking the average and standard
>> >> > deviation of all these percentages. This gives me an idea about the
>> >> > average IS/OOS error as well as the spread around this average. For
>> >> > the
>> >> > same AFL using the same Symbol you should do the WalkFoward in the
>> >> > way
>> >> > I mentioned in my previous email and calculate the above
>> >> > average/stdev
>> >> > relation. In order to get a stable WalkForward result being
>> >> > independent
>> >> > of the IS/OOS ratio, the average/stdev relation should be more or
>> >> > less
>> >> > stable. It's not. It's highly dependent on the IS/OOS ratio you are
>> >> > using ...
>> >> >
>> >> > BTW ... To get things straight, I am not throwing WalkFoward out of
>> >> > the
>> >> > window. I am just trying to believe in what I am using. And it's
>> >> > getting more and more difficult for me ...
>> >> >
>> >> > Regards, Ton.
>> >> >
>> >> >
>> >> >
>> >> >
>> >> > ----- Original Message -----
>> >> > From: Mike
>> >> > To: amibroker@xxxxxxxxxxxxxxx
>> >> > Sent: Monday, October 05, 2009 11:09 AM
>> >> > Subject: [amibroker] Re: Is the Walk forward study useful?
>> >> >
>> >> >
>> >> > Ton,
>> >> >
>> >> > 1. Pardo disagrees with Aronson (and Bandy). Pardo suggests that a
>> >> > OOS to IS ration of 25% - 35% is best, but that a good rule of thumb
>> >> > for empirical testing is 1/8 to 1/3.
>> >> >
>> >> > 2. Yes, I suspect that each strategy will have its own best values
>> >> > for IS/OOS and that other values will appear as useless. It is up to
>> >> > us
>> >> > to try and find the best values.
>> >> >
>> >> > With respect to your comment: "I am getting results that show a
>> >> > random pattern", my question remains; What are you measuring? In
>> >> > other
>> >> > words, what values appear random - your fitness value? CAR?
>> >> > Something
>> >> > else?
>> >> >
>> >> > 3. I have done very much as you ask, except that I also varied my
>> >> > IS
>> >> > period. I mostly kept my ratios within Pardo's suggested 1/8 to 1/3,
>> >> > but went as low as 1/12 and as high as 1/2 just to be sure.
>> >> >
>> >> > For example IS=1 year, IS=2 years, IS=3 years giving
>> >> >
>> >> > IS1yr+OOS6mth, IS1yr+OOS3mth, IS1yr+OOS1mth
>> >> > IS2yr+OOS12mth, IS2yr+OOS6mth, IS2yr+OOS3mth
>> >> > IS3yr+OOS18mth, IS3yr+OOS12mth, IS3yr+OOS6mth
>> >> >
>> >> > IS2yr+OOS6mth produced the most consistent CAR, even though a
>> >> > weighted UPI was used as the fitness function for the actual walk
>> >> > forward.
>> >> >
>> >> > I do not have a strong opinion as to whether or not there really
>> >> > is a
>> >> > relationship between IS and OOS sizes. I found that Pardo's rule of
>> >> > thumb was as good a starting place as any. I was happy that my
>> >> > values
>> >> > (25%) coincided with what he advised. But, had my studies suggested
>> >> > a
>> >> > ratio outside of Pardo's range, I would have still gone with what my
>> >> > results suggested, despite Pardo's advice.
>> >> >
>> >> > Mike
>> >> >
>> >> > --- In amibroker@xxxxxxxxxxxxxxx, "Ton Sieverding"
>> >> > <ton.sieverding@>
>> >> > wrote:
>> >> > >
>> >> > > Hi Mike,
>> >> > >
>> >> > > What I am saying is :
>> >> > >
>> >> > > 1. That according to David Aronson "There is no theory that
>> >> > suggests what fraction of the data should be assigned to training (
>> >> > IS ) and testing ( OOS )." and that "Results can be very sensitive
>> >> > to
>> >> > these choices ... ". I assume that he knows where he is talking
>> >> > about
>> >> > ...
>> >> > >
>> >> > > 2. That when I am doing WalkFoward tests following the advice of
>> >> > Howard Bandy, Robert Pardo AND Van Tharp, I am getting results that
>> >> > show a random patron when changing the OOS en IS periods. So my
>> >> > conclusion is that WalkFoward is a subjective test ...
>> >> > >
>> >> > > Therefore I have serious problems using WalkFoward tests. If you
>> >> > can help me to get things done in an objective way then I will be
>> >> > delighted to know how you want to do that. But for sure Van Tharp
>> >> > did
>> >> > not help me ...
>> >> > >
>> >> > > Please do a simple WF test with OOS=1year and
>> >> > IS=1month...12months.
>> >> > So creating WF results for OOS1y+IS1m, OOS1y+IS2m etc. And see what
>> >> > you
>> >> > are getting. This is purely random. The result says nothing to me
>> >> > ...
>> >> > >
>> >> > > Regards, Ton.
>> >> > >
>> >> > >
>> >> > >
>> >> > > ----- Original Message -----
>> >> > > From: Mike
>> >> > > To: amibroker@xxxxxxxxxxxxxxx
>> >> > > Sent: Monday, October 05, 2009 9:29 AM
>> >> > > Subject: [amibroker] Re: Is the Walk forward study useful?
>> >> > >
>> >> > >
>> >> > > Ton,
>> >> > >
>> >> > > Are you saying that you have not found an IS/OOS pair that works
>> >> > well? What measure are you using to judge "stability" of the walk
>> >> > forward process (i.e. what measure are you using to judge the
>> >> > process
>> >> > as random)?
>> >> > >
>> >> > > After testing with multiple IS periods, and with multiple OOS
>> >> > periods, I was able to identify "fixed" window lengths that proved
>> >> > more
>> >> > consistent than the others tested.
>> >> > >
>> >> > > I reached this conclusion by charting a distribution curve of
>> >> > CAR
>> >> > for the OOS results. My fitness function is currently based on UPI,
>> >> > and
>> >> > thus my walk forward is driven by that value. However, ultimately my
>> >> > interest is in how consistent CAR would be which is why I used that
>> >> > for
>> >> > evaluating the goodness of fit for the IS/OOS period lengths.
>> >> > >
>> >> > > In my case, over a 13 year period, a 2 year IS and 6 month OOS
>> >> > (for
>> >> > a total of 26 OOS data points) produced the most normal looking
>> >> > distribution of CAR results (i.e. central peak, smallest standard
>> >> > deviation). Excluding the results from all of 1999 and the first
>> >> > half
>> >> > of 2000 (during which results were abnormally strong), the
>> >> > distribution
>> >> > curve looks even better.
>> >> > >
>> >> > > Also, have you tried working with different fitness functions?
>> >> > Perhaps your fitness function doesn't adequately identify the
>> >> > "signal"
>> >> > and thus misguides the walk forward, regardless of IS/OOS window
>> >> > lengths.
>> >> > >
>> >> > > I am in the process of running a new walk forward over the last
>> >> > 7.5
>> >> > years using Van Tharp's System Quality Number (SQN) as my fitness
>> >> > function. I have kept the same 2 year IS/6 months OOS for a total of
>> >> > 15
>> >> > OOS data points. My system strives to generate a minimum average of
>> >> > 2
>> >> > trades per day, so each IS period generally has 1000 or more trades
>> >> > from which to calculate the fitness.
>> >> > >
>> >> > > It has not run to completion yet. But, for the periods that have
>> >> > produced results, the results look promising (at least with respect
>> >> > to
>> >> > the SQN of the OOS relative to the SQN of the IS, I have not yet
>> >> > created the distribution of CAR for OOS).
>> >> > >
>> >> > > Assuming that the remainder of the results are equally strong, I
>> >> > will walk forward further back in history to get the full 26 data
>> >> > points to compare against the results produced using my UPI fitness.
>> >> > If
>> >> > the CAR distribution is more normal using SQN as fitness, then I
>> >> > will
>> >> > officially start using SQN for generating optimal values for my next
>> >> > live OOS.
>> >> > >
>> >> > > If you are willing to share, I would be curious to hear if SQN
>> >> > as a
>> >> > fitness function was able to produce a more stable walk forward for
>> >> > you, and what measure you are using to judge "stable".
>> >> > >
>> >> > > Mike
>> >> > >
>> >> > > --- In amibroker@xxxxxxxxxxxxxxx, "Ton Sieverding"
>> >> > <ton.sieverding@> wrote:
>> >> > > >
>> >> > > > Hi Howard,
>> >> > > >
>> >> > > > I still am struggling with the following sentence from David
>> >> > Aronson : "The decision about how to apportion the data between the
>> >> > IS
>> >> > and OOS subsets is arbitrary. There is no theory that suggests what
>> >> > fraction of the data should be assigned to training ( IS ) and
>> >> > testing
>> >> > ( OOS ). Results can be very sensitive to these choices ... ".
>> >> > Because
>> >> > this is exactly what I am seeing. WalkFoward results are more then
>> >> > sensitive to the IS/OOS relation and in many cases a pure random
>> >> > story.
>> >> > I am getting more and more the feeling that WalkForward is not the
>> >> > correct or better objective way to test trading systems. With all
>> >> > respect to Robert Pardo's idea's about this topic and what you are
>> >> > writing in QTS ...
>> >> > > >
>> >> > > > Regards, Ton.
>> >> > > >
>> >> > > >
>> >> > > > ----- Original Message -----
>> >> > > > From: Howard B
>> >> > > > To: amibroker@xxxxxxxxxxxxxxx
>> >> > > > Sent: Monday, October 05, 2009 12:48 AM
>> >> > > > Subject: Re: [amibroker] Re: Is the Walk forward study useful?
>> >> > > >
>> >> > > >
>> >> > > > Greetings all --
>> >> > > >
>> >> > > > My point of view on the length of the in-sample and
>> >> > out-of-sample
>> >> > may be a little different.
>> >> > > >
>> >> > > > The logic of the code has been designed to recognize some
>> >> > pattern
>> >> > or characteristic of the data. The length of the in-sample period is
>> >> > however long it takes to keep the model (the logic) in
>> >> > synchronization
>> >> > with the data. There is no one answer to what that length is. When
>> >> > the
>> >> > pattern changes, the model fits it less well. When the pattern
>> >> > changes
>> >> > significantly, the model must be re-synchronized. The only person
>> >> > who
>> >> > can say whether the length is correct or should be longer or shorter
>> >> > is
>> >> > the person running the tests.
>> >> > > >
>> >> > > > The length of the out-of-sample period is however long the
>> >> > model
>> >> > and the data remain in sync. That must be some length of time beyond
>> >> > the in-sample period in order to make profitable trades. It could be
>> >> > a
>> >> > long time, in which case there is no need to modify the model at all
>> >> > during that period. There is no general relationship between the
>> >> > length
>> >> > of the in-sample period and the length of the out-of-sample
>> >> > period --
>> >> > none. There is no general relationship between the performance
>> >> > in-sample and the performance out-of-sample. The greater the
>> >> > difference
>> >> > between the two, the better the system has been fit to the data over
>> >> > the in-sample period. But that does not necessarily mean that the
>> >> > out-of-sample results are less meaningful.
>> >> > > >
>> >> > > > You can perform some experiments to see what the best
>> >> > in-sample
>> >> > length is. And then to see what the typical out-of-sample length is.
>> >> > Knowing these two, set up a walk forward run using those lengths.
>> >> > After
>> >> > the run is over, ignore the in-sample results. They have no value in
>> >> > estimating the future performance of the system. It is the
>> >> > out-of-sample results that can give you some idea of how the system
>> >> > might act when traded with real money.
>> >> > > >
>> >> > > > It is nice to have a lot of closed traded in the out-of-sample
>> >> > period, but you can run statistics on as few as 5 or 6. Having fewer
>> >> > trades means that it will be more difficult to achieve statistical
>> >> > significance. The number 30 is not magic -- it is just conventional.
>> >> > > >
>> >> > > > I think it helps to distinguish between the in-sample and
>> >> > out-of-sample periods this way -- in-sample is seeing how well the
>> >> > model can be made to fit the older data, out-of-sample is seeing how
>> >> > well it might fit future data.
>> >> > > >
>> >> > > > Ignore the television ads where person after person exclaims
>> >> > "backtesting!" as though that is the key to system development. It
>> >> > is
>> >> > not. Backtesting by itself, without going on to walk forward
>> >> > testing,
>> >> > will give the trading system developer the impression that the
>> >> > system
>> >> > is good. In-sample results are always good. We do not stop fooling
>> >> > with
>> >> > the system until they are good. But in-sample results have no value
>> >> > in
>> >> > predicting future performance -- none.
>> >> > > >
>> >> > > > There are some general characteristics of trading systems that
>> >> > make them easier to validate. Those begin with having a positive
>> >> > expectancy -- no system can be profitable in the long term unless it
>> >> > has a positive expectancy. Then going on to include trade
>> >> > frequently,
>> >> > hold a short time, minimize losses. Of course, there have been
>> >> > profitable systems that trade infrequently, hold a long time, and
>> >> > suffer deep drawdowns. It is much harder to show that those were
>> >> > profitable because they were good rather than lucky.
>> >> > > >
>> >> > > > There is more information about in-sample, out-of-sample, walk
>> >> > forward testing, statistical validation, objective functions, and so
>> >> > forth in my book, "Quantitative Trading Systems."
>> >> > > > http://www.quantitativetradingsystems.com/
>> >> > > >
>> >> > > > Thanks for listening,
>> >> > > > Howard
>> >> > > >
>> >> > > >
>> >> > > >
>> >> > > > On Sun, Oct 4, 2009 at 10:56 AM, Bisto <bistoman73@> wrote:
>> >> > > >
>> >> > > >
>> >> > > > Yes, I believe that you should increase the IS period
>> >> > > >
>> >> > > > as general rule is not true "the shortest the best" trying to
>> >> > catch every market change because it's possible that a too short IS
>> >> > period produces a too low number of trades with no statistical
>> >> > robustness --> you will find parameters that are more likely
>> >> > candidated
>> >> > to fail in OS
>> >> > > >
>> >> > > > try a longer IS period and let's see what will happen
>> >> > > >
>> >> > > > I read an interesting book on this issue: "The evaluation and
>> >> > optimization of trading strategies" by Pardo. Maybe he repeated too
>> >> > much times the same concepts nevertheless I liked it
>> >> > > >
>> >> > > > if anyone could suggest a better book about this issue it
>> >> > would
>> >> > be very appreciated
>> >> > > >
>> >> > > >
>> >> > > >
>> >> > > > Bisto
>> >> > > >
>> >> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Gonzaga" <gonzagags@>
>> >> > 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@xxxxxxxxxxxxxxx, "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@xxxxxxxxxxxxxxx, "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@xxxxxxxxxxxxxxx, "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!
>> >> > > > > > > >
>> >> > > > > > >
>> >> > > > > >
>> >> > > > >
>> >> > > >
>> >> > >
>> >> >
>> >>
>> >
>> >
>> >
>> >
>> > ------------------------------------
>> >
>> > **** 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
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