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I've messed around with this a little.
Dennis Meyers has messed around with it a lot. I notice you have a link to
his web site from yours. He's also published many articles in trading mags.
http://www.meyersanalytics.com/
The idea is to optimize parameters of a trading system on a segment of
historical data (for intraday systems, Meyers likes 4 weeks), test the
performance on a segment just foward of that (Meyers likes 1 week), and keep
inching along (in this case 1 week at a time). Meyers uses longer time
frames for non-intraday systems.
It's a way to get lots of instances of in-sample optimization followed by
out-of-sample testing, to see whether a system is any good. However, there
is a big "if" here which has big practical implications: this makes sense
IF optimization on relatively short data segments produces the best overall
results. I have found intraday systems that produce poor results in this
kind of walk-forward optimization, but produce good results when optimized
on, say one year's data, and then tested on an out-of-sample year.
You can do walk forward optimization in TradeStation two ways: 1) the easy
tedious way: manually; 2) the hard, tricky way: automate it. In trying
to do number 2, the difference between a bug-free platform and TradeStation
tends to become more obvious than usual, in my experience. Also, some
things may not be feasible to automate, like buying or selling on a stop,
because automation requires writing a system that doesn't really trade, but
just tells you when it would have traded.
I have stated on this forum in the past that this is a worthwhile feature to
include in a platform. The right place to implement this feature is clearly
at the platform level, not in application code inside a platform.
> -----Original Message-----
> From: Mark Brown [mailto:markbrown@xxxxxxxxxxxxx]
> Sent: Thursday, February 21, 2002 1:48 PM
> To: Omega List
> Subject: Forward Optimization
>
>
> Hello Omega,
>
> I am wondering if someone who understands forward optimization
> processes could please explain the whole idea of the concept to me.
> What is the goal of it? How do you use it? What features do you need
> that are seemingly unobtainable using currently available software.
> What software do you use, are there and references online? I am doing
> some research for a friend who is building a new software product, and
> he has the bright idea he needs to include this feature.
>
> --
>
> Have Great Day, Mark Brown
>
> °¨¨°şİ[ WWW.MARKBROWN.COM ]İş°¨¨°
>
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