Hi Louis --
The objective function is the formula that is used to give a single valued
metric to each and every run of a system. It measures the "goodness" of
that run. It allows comparison among alternatives.
Selecting the objective function that works best for You is the First Step
in tradin
Louis,
> Hi Howard,
>
> Thanks for the code and the information. What exactly is doing the
> CMO Oscillator? I tried to look for information on the web but did
> not find anything convincing. It sure looks interesting and I will
> try to find more about it, but right now this look like mystery
Hi Howard,
Thanks for the code and the information. What exactly is doing the CMO
Oscillator? I tried to look for information on the web but did not find
anything convincing. It sure looks interesting and I will try to find more
about it, but right now this look like mystery to me.
Something I
Hi Louis --
If the system you are working with is actually the crossover of two simple
moving averages, the results you get will probably not be very good. I
often suggest a simple system when I am trying to make a point that requires
a system and I do not want the definition of the system to con
Hi Thomas,
I understand what you mean and I agree with you on what you say. My concern
is more about what to do when each IS and the following OOS uses some
parameters and then each new IS-OOS uses another parameter. Moreover, all
those parameters are (as far as I know) the best-of-many and they
> The problem with that is the following: let's say my signal is a MA
> crossover, and I optimized each MA. I apply a walk-forward of 3
> months, and each time the MA Crossover is different. So, in the end,
> if the OOS is worse than IS, I don't know much more because each time
> the walk-forwar
The problem with that is the following: let's say my signal is a MA
crossover, and I optimized each MA. I apply a walk-forward of 3 months, and
each time the MA Crossover is different. So, in the end, if the OOS is
worse than IS, I don't know much more because each time the walk-forward was
acti
Hi Thomas,
Do you use Walk-forward as a random optimizer like Monte Carlo Simulation or
do you use it as a parameter optimization (let's say you want to know the
best numbers for a MA crossover). Or maybe both?
I ask this because my feeling is that if I use it only as a parameter
optimization, e
Thanks Thomas and Louis, there is a lot I learn here.
Kazaan
On 16/04/2008, Thomas Ludwig <[EMAIL PROTECTED]> wrote:
>
>
> > Thank you very much Thomas. So in fact the walk-forward measures the
> > data-mining bias in some way? I will read what you say I should
> > read, and I will look at chap
> Thank you very much Thomas. So in fact the walk-forward measures the
> data-mining bias in some way? I will read what you say I should
> read, and I will look at chapter 20 in Howard's book...
Yes, it's explained there in detail. It's great that Amibroker now
automates this process (that was
Thank you very much Thomas. So in fact the walk-forward measures the
data-mining bias in some way? I will read what you say I should read, and I
will look at chapter 20 in Howard's book...
But still, so far I get the impression that if I backtested let's say cross
(ma,ma...) for 2000 to 2008 and
Louis,
in the IS period your system is optimized, then the best values from the
optimization are used to perform a test over the IS and OOS periods.
If the OOS results are worse than the IS results, this means that the
system doesn't generalize well enough. BTW: This topic is very well
explain
Hi,
I've been experimenting with walking-forward, and I have some questions
regarding how it works.
I ran a complete random optimization or buying/selling using the variables I
set (a MCS in fact), and systematically OOS results were worst than IS. I
don't understand how it works, because whatev
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