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Fred, Please read my post again more carefully. I've said nothing
about Active Trader, 25 bars, or picking which of the n segments is
best. If the description I've provided isn't clear enough, then I
don't know what else to say.
Mark
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> Mark,
>
> First a statement ... There may !? be some ?! validity to walk
> forward testing using either an anchored original data point or a
> moving window but clearly not with windows of 25 bars. Your
> description of how you'd like to do this is the first I've ever seen
> of this type i.e. pick which of the n-segments is best and use that.
> This could be done but I would think ?! it would be best to either
> use the entire period from the anchored first point to the current
> bar or a sliding window of n bars from n-1 bars ago until the current
> bar to base the optimization on. If your looking for a methodology
> that actually might have some promise to it I suspect one of these
> methods would provide better results. If you are just looking to
> dispell what was in Active Trader then I think that 1. They've
> pretty much already done this themselves by virtue of the size of
> their window and 2. this MIGHT be a waste of time in that no one here
> will really benefit from the outcome except that one is sure not to
> use AT's methods.
>
> Your thoughts ?
>
> Fred
>
> --- In amibroker@xxxxxxxxxxxxxxx, "MarkF2" <feierstein@xxxx> wrote:
> > Fred, OK, here's a more detailed description.
> >
> > The code as I envision it would allow the walk-forward OOS testing
> of
> > a system with one optimization parameter in an exploration. For
> > example:
> >
> > per = optimize("period",10,2,20,2);
> > Buy = Cross(C,EMA(C,per));
> > Sell = Cross(EMA(C,per),C);
> > Short = Sell;
> > Cover = Buy;
> >
> > The loop code would have an area to paste the system and would allow
> > two additional inputs: 1) # of segments to break the data into and
> 2)
> > # of segments to use for the initial optimization. If the system
> must
> > be optimized *by the loop*, then it would also need a mechanism for
> > inputting the optimization parameters. It may be easier to write a
> > separate routine for sliding optimization windows, I don't know.
> I'm
> > just describing what I want. But I can tell you that in most cases,
> > sliding windows are just too noisy to give a meaningful assessment
> of
> > *overall system robustness* (which is what I'm testing for) because
> > you will end up optimizing on a bearish segment and then OOS testing
> > on a bullish or ranging segment, etc.
> >
> > Let's say the system doesn't have to be optimized by the loop and
> you
> > choose to break the data into 10 segments and do the initial
> > optimization on the first three segments.
> >
> > The code would divide the data into 10 (near)equal segments, then do
> > the initial optimization on the first 3. It would then take the best
> > performing period (I'd like this in terms of profit factor) and test
> > it on segment #4 (which is the first OOS segment). Then it would
> > record two things for this and every other OOS segment: 1) the
> period
> > used and 2)the result (profit factor). Then it would reoptimize the
> > system over segments 1-4 and use the best period on segment 5 (the
> > second OOS segment), recording the period used and result, then
> > reoptimize over segments 1-5, use the best period on segment 6, etc.
> >
> > At bare bones minimum, the exploration would have 3 columns: Ticker,
> > Period, and Profit Factor, with a row for each OOS segment. Columns
> > for the dates of each segment would be nice also, if doable. So if
> > there are 7 OOS segments and you're testing a system on 100 stocks,
> > you'd get an exploration with 700 rows.
> >
> > Let me know if any questions.
> >
> > Mark
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > > Mark,
> > >
> > > It was not my intention to be a smartass although I can see
> that's
> > > how your taking my response. If you and possibly others are
> > > interested in this sort of AFL, I'd be happy to look into writing
> > one
> > > as there may be benefits that I get out of this as well. I would
> > > certainly think that it would be possible to implement whether
> the
> > > period of optimization had a sliding window or an anchored
> > beginning
> > > based on a parameter. If you'd like to proceed please state
> > > precisely what your requirements are. After that I will probably
> > > have questions.
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "MarkF2" <feierstein@xxxx>
> wrote:
> > > > I was looking for help in implementing what I described, not a
> > > > critique (there IS a benefit in "anchoring" the front data
> point
> > if
> > > > you consider the results accordingly, BTW) and not a general
> > > statement
> > > > that it can be done "with a properly written AFL." Thanks
> anyway.
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > > > > I can't say as I see any benefit in anchoring the front data
> > > point as
> > > > > this causes current data to be less and less important as
> time
> > > goes
> > > > > along. In addition I don't see why with a properly written
> AFL
> > > there
> > > > > would be any need for human intervention. Basically you
> supply
> > > the
> > > > > system and it does the rest much like the way PortfolioTrader
> > > that I
> > > > > posted uses a user supplied scoring routine to determine
> which
> > > > > securities to invest this would need to decide what parameter
> > > values
> > > > > to use as time rolls along.
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "MarkF2" <feierstein@xxxx>
> > > wrote:
> > > > > > But how about doing it the way I described? I would prefer
> to
> > > > > > minimize human interaction and maximize automation.
> Imagine
> > > > > testing a
> > > > > > system in this manner on all SP500 stocks, for example.
> > > > > >
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx>
> > wrote:
> > > > > > > This would be simple enough to do if you think about it
> > terms
> > > of
> > > > > how
> > > > > > > many bars you are going to use for a lookback period and
> > then
> > > > > armed
> > > > > > > with the results of optimization of that period how far
> > ahead
> > > > > from
> > > > > > > that point in time you are going to trade before you
> > > reoptimize.
> > > > > As
> > > > > > > Dingo says this could be done with automation or it could
> > all
> > > be
> > > > > done
> > > > > > > interally in AB/AFL/ABTool. This is a different form of
> > > Score
> > > > > and
> > > > > > > Rank if you will where instead of scoring and ranking
> > > individual
> > > > > > > issues in a portfolio on a rolling basis you are scoring
> > and
> > > > > ranking
> > > > > > > parameters for your timing system on a rolling basis.
> > > > > > >
> > > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx>
> > wrote:
> > > > > > > > perhaps I can help - contact me privately at dingo at
> > > udsnet
> > > > > dot
> > > > > > > com.
> > > > > > > >
> > > > > > > > d
> > > > > > > >
> > > > > > > > -----Original Message-----
> > > > > > > > From: MarkF2 [mailto:feierstein@x...]
> > > > > > > > Sent: Tuesday, June 17, 2003 4:00 PM
> > > > > > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > > > > > Subject: [amibroker] Walk-Forward Out of Sample (OOS)
> > > Testing
> > > > > > > >
> > > > > > > >
> > > > > > > > Jayson, I believe Owen wants to use AB for walk-
> forward,
> > > out of
> > > > > > > sample
> > > > > > > > testing. I'd love to be able to do this also but lack
> > the
> > > > > > > programming
> > > > > > > > skills. Can anyone help? I think this would be
> > incredibly
> > > > > useful!!!
> > > > > > > >
> > > > > > > > What I'd like to do can, I believe, be done with loops
> > and
> > > > > would go
> > > > > > > > something like this:
> > > > > > > >
> > > > > > > > Let's say you're testing a simple system on MSFT where
> > > price
> > > > > crosses
> > > > > > > > over and under a moving average so you're optimizing
> only
> > > one
> > > > > > > > parameter, length, to keep things simple. The loop code
> > > would
> > > > > allow
> > > > > > > > two inputs: 1) # of segments to break data into and 2) #
> > of
> > > > > segments
> > > > > > > > to use for initial optimization. Let's say you choose
> 10
> > > and
> > > > > 3. AB
> > > > > > > > would divide MSFT data into 10 equal segments, then do
> > the
> > > > > initial
> > > > > > > > optimization on the first 3. It would then take the
> best
> > > > > performing
> > > > > > > > length and test it on segment #4 (which is the first
> OOS
> > > > > segment).
> > > > > > > > Then it would record two things for this and every
> other
> > > OOS
> > > > > > > segment:
> > > > > > > > 1) the length used and 2)the result (I'd like profit
> > > factor).
> > > > > Then
> > > > > > > AB
> > > > > > > > would reoptimize the system over segments 1-4 and use
> the
> > > best
> > > > > > > > parameter on segment 5 (the second OOS segment),
> > recording
> > > > > length
> > > > > > > used
> > > > > > > > and result, then reoptimize over segments 1-5, use the
> > best
> > > > > > > parameter
> > > > > > > > on segment 6, etc.
> > > > > > > >
> > > > > > > > What this would do is automatically tell you how robust
> > > your
> > > > > system
> > > > > > > > concept is over the OOS segments (4-10 in this case).
> > > > > > > >
> > > > > > > > Mark
> > > > > > > >
> > > > > > > >
> > > > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Jayson"
> > <jcasavant@xxxx>
> > > > > wrote:
> > > > > > > > > Owen,
> > > > > > > > > Am I over simplifying by suggesting you simply use the
> > > > > > > > > From-To range settings in AA?
> > > > > > > > >
> > > > > > > > > Example choose 12/1/2002-12/25/2002 to optimize then
> > > simply
> > > > > move
> > > > > > > the
> > > > > > > > window
> > > > > > > > > forward 25 days to test the results.......
> > > > > > > > >
> > > > > > > > > Regards,
> > > > > > > > > Jayson
> > > > > > > > > -----Original Message-----
> > > > > > > > > From: Owen Davies [mailto:owen5819@x...]
> > > > > > > > > Sent: Tuesday, June 17, 2003 2:04 PM
> > > > > > > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > > > > > > Subject: [amibroker] Annoying programming problem:
> > ideas
> > > > > please?
> > > > > > > > >
> > > > > > > > >
> > > > > > > > > Active Trader has taken to doing something I've
> always
> > > > > considered
> > > > > > > > BS. Some
> > > > > > > > > articles--at least one a month of late--optimize an
> > > intraday
> > > > > > > trading
> > > > > > > > system,
> > > > > > > > > usually some variation on a volatility breakout, over
> a
> > > month
> > > > > or
> > > > > > > so
> > > > > > > > of data
> > > > > > > > > and then do an out-of-sample test for the next month
> or
> > > so to
> > > > > > > > "prove" how
> > > > > > > > > well it works. Over time, this has come to irritate
> me
> > > > > enough
> > > > > > > that
> > > > > > > > I'd like
> > > > > > > > > to do a long-term study, either to prove that it's
> > > nonsense
> > > > > or to
> > > > > > > > learn
> > > > > > > > > something new and highly unlikely. So:
> > > > > > > > >
> > > > > > > > > Can anyone think of a way to optimize a technique on,
> > > say, 25
> > > > > bars
> > > > > > > > of data,
> > > > > > > > > test it on the next 25 bars, and then step the window
> > > forward
> > > > > and
> > > > > > > > do it
> > > > > > > > > again? I'd settle for re-optimizing daily on the
> > > previous 25
> > > > > (or
> > > > > > > > whatever)
> > > > > > > > > bars. Whatever is easiest.
> > > > > > > > >
> > > > > > > > > For the sake of simplicity, something that runs on
> EOD
> > > data
> > > > > will
> > > > > > > do.
> > > > > > > > I mean
> > > > > > > > > to test breakouts in the direction of an existing
> trend
> > > and
> > > > > close
> > > > > > > at
> > > > > > > > the end
> > > > > > > > > of the day, so there should be no problem with days
> > that
> > > > > break out
> > > > > > > > in one
> > > > > > > > > direction, reverse, and break out in the other; a day
> > > that
> > > > > > > reverses
> > > > > > > > and ends
> > > > > > > > > badly will just count as a loss. Also, I can do the
> > > > > conversion to
> > > > > > > > intraday
> > > > > > > > > data myself, rather than ask others to hand me the
> > > complete
> > > > > > > package.
> > > > > > > > All I
> > > > > > > > > need is some way to optimize on a window.
> > > > > > > > >
> > > > > > > > > Offhand, I can't see any way to do it within AFL, and
> I
> > > don't
> > > > > have
> > > > > > > > the skill
> > > > > > > > > to handle it with external programming.
> > > > > > > > >
> > > > > > > > > Many thanks.
> > > > > > > > >
> > > > > > > > > Owen Davies
> > > > > > > > >
> > > > > > > > >
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