Hi,
One of the goals of walk forward optimization is to remove the
discretionary decisions (i.e. the Params) and see how your system
would perform on out of sample (OOS) data after having been optimized
over in sample (IS) data.
At each OOS phase, the sytem uses only one set of values; the opt
r is available,
but not Linear regression slope, standard deviation
Hope this clears up what I'm trying to do.
Thanks
Dave
- Original Message -
From: Mike
To: amibroker@yahoogroups.com
Sent: Friday, March 21, 2008 6:34 PM
Subject: [amibroker] Re: Custom Metric for