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Dario.
Are you looking for similar products (software) that can do Walk Forward
Optimization? Yes, of course you can do that with WLD2. There are
several systems published on the web site that perform that task. There
are some sample codes that you can use as a base. You can use it on a
portfolio of stocks or futures. The code is FREE and comes with the
software (not free).
I believe WFO gives you a better result of what to expect in future from
a system.
Regards.
Volker Knapp
Wealth-Lab Inc.
www.wealth-lab.de
www.wealth-lab.com
-----Ursprüngliche Nachricht-----
Von: DARIO SOARES [mailto:DARIO.SOARES@xxxxxx]
Gesendet: Donnerstag, 3. Juli 2003 18:34
An: Ron Hudson MCSD, MCDBA; omega-list@xxxxxxxxxx
Betreff: RE: Reoptimization and RevMark System
my 2 cents:
- optimization for multiple data points - walk forward - can be quite
successfull. Most non-parametric approaches like NN are based on this
approach.
- optimize for a portfolio to create a "robust" system? - it will be
curve-fitted to a portfolio anyway...
- what are you optimizing? %wins? Measures like sortino ratio that
account for stdev of negative returns are preferred.
- create a portfolio of 10-20 random data sets and optimize this
"virtual portfolio" to create robust systems.
- use adaptive systems - no need for brute force optimization here.
- "optimize" for market conditions: some systems work better in
trending/high volatility environments, etc...
- optimized *OR* "robust" systems? If you want to achieve systematic
diversification probably it is better to USE BOTH approaches.
Here are some commercial packages for tradestation regarding
walk-forward-optimization. Does anyone have experience using these or
know of other similar products?
www.rinafinancial.com/OptiLogix.asp
www.meyersanalytics.com/wfopt.htm
D.S.
-----Original Message-----
From: Ron Hudson MCSD, MCDBA [mailto:ron@xxxxxxxxxxxxxxxxxx]
Sent: quarta-feira, 25 de Junho de 2003 22:57
To: omega-list@xxxxxxxxxx
Subject: Reoptimization and RevMark System
To other trading systems developers on the Omega News List, EliteTrader,
and
TSWorld:
I have been evaluating John Bonin's Revmark and ATM systems
(www.talkingtools.com). The systems are ES daytrading counter-trend
systems,
which is something I need more of in my ES day trading systems
portfolio.
I have run 2 year performance reports in TS7 and posted both of them on
my
web site (www.tradingteacher.com). Here are the links to the reports,
which
I think are very interesting:
http://www.aneel.com/ron/trackrecord/!web/atm0623.mht
http://www.aneel.com/ron/trackrecord/!web/revmark.mht
As you can see from the equity curves, these two systems are optimized
for
the last year (PF for the last year is in the 3 area on both systems).
The
vendor is one of those who believes, as he puts it, that "backtesting an
ES
day trading system for more than 4-5 months is futile."
Based on the handsome profit factor of his systems during the last year,
I
am intrigued by this claim that "re-optimization is good." I really
haven't
heard or read about this before. I would like to solicit advise from
others
who have opinions about this. For example, I know that Josh Murakami
(www.tradingsystemdesign.com) subscribes to a similar philosophy.
Just when I thought I was beginning to understand that the longest,
smoothest equity curve was the secret to systems trading, now I'm not so
sure. I would appreciate anything others can share about this. The
consistent profits of John Bonin's systems over the last year are quite
attractive.
I would especially be interested in books, web sites, or products
related to
this subject. The most valuable feedback would be real-world experience
from
developers who are familiar with the pros and cons of reoptimization,
and
tips and tricks for doing it right. Also, is there a difference between
"reoptimization" and "curve-fitting." How do we know where to draw the
line?
Is it just one of those judgement calls that comes from experience and
wisdom?
Ron Hudson MCSD, MCDBA
Tradestation 7 EasyLanguage Specialist
Client-Server Systems, Inc.
Huntington Beach, CA
www.tradingteacher.com
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