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two methods:
1:
if c>average(c,len) then buy;
if c<average(c,len) then sell;
2:
if c crosses above average(c,len) then buy;
if c crosses below average(c,len) then sell;
1 and 2 give different results.
1 will change your trade if necessary when the window moves.
2 keeps you in trade until next cross after the window moves.
by the way, I have never had success with xaverage and walking forward.
Jon
----- Original Message -----
From: <mark.keenan@xxxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: October 16, 2002 1:53 PM
Subject: WALK FORWARD OPTIMIZATION - Open position management around the
trade / optimization window ??
I am a little confused on the following PRACTICAL issue and have not seen
it addressed in all the books written on System Robustness and
optimization.
Assume the following basic system:
Buy on a close above a EXP moving average -
Sell on a close below a EXP moving average -
The system is always in the market unless a fixed percentage stop is used.
My question is essentially the following and am very interested to know how
people handle this issue..
I will be using the following methodology :
Optimize over 4 years
Trade the Optimized parameters over the next six months
Shift the 4 year optimization window up my six months (my traded window)
Re- optimize and trade the new optimized parameters over the next six
months
Keep repeating..
Assume I test 4 years of data and arrive at an optimal value for my average
as 20
I the trade the next six months ion real time with my 20 average
I have a few good trades during my six month window and at the end of the
six months I am STILL IN A TRADE, say initiated two weeks before the six
months was up.
I shift my optimization window forward to encapsulate the recent 'traded
six month' , optimize my 'new window' and arrive at optimal average of 25
What do I do - I am still in a trade from the previous six month window
using a 20 average - My recent 4 year optimization window has now told me
the optimal average is 25 and further more I should have taken a trade a
week ago using the 25 average.
How are open trades managed around optimization windows??
I have thought of optimizing whenever I close a trade out, but then what
happens of the new parameter says i should have initiated a trade while I
was still in a the old trade.??
Help and advice would really be appreciated
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