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Careful with the first idea - if you are using indicators they will need a
maxbarsback setting and will not trade for this period - you should
therefore add this on before the start of the testing period.
I always use the second idea - but here you have to be a little careful
also. If you have a long position on on Dec 31st and this was closed out
because the period completed it may close out what may have been a
profitable/loss making trade. It is then best to allow for this to be taken
out by your normal exits - but then the next period has to be adjusted for
this to start after that final exit.
Therefore, make your entries period specific - but your exits excluded from
being period specific.
-----Original Message-----
From: DH [mailto:catapult@xxxxxxxxxxxxxxxxxx]
Sent: Tuesday, 8 May 2001 3:25 AM
To: Omega List
Subject: Re: Walk BACKWARD TESTING
> What software do you use to do your walk forward (out of sample) testing?
> TradeStation doesn't, of course, natively handle this type of testing.
Sure it does. Example: load 1999-only data in a chart and do an
optimization run. Then load 2000-only data and see how your optimized
parameters do. If you don't want to reload the data all the time, you
can add code to your system to restrict it to only trade between some
start date and some end date. Then load all the data you have and test
away.
--
Dennis
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