Thursday, April 24, 2008 9:22 AM
Subject: [amibroker] Re: Difference betwee OOS and IS
Ton,
Yes, I read Aronson's book. In my opinion, a strong understanding of
chapters 3-6 would benifet any trader. However, I think that upon
completing the book, many traders would not k
ahoogroups.com
> Sent: Tuesday, April 22, 2008 10:08 PM
> Subject: [amibroker] Re: Difference betwee OOS and IS
>
>
> Looking at the table of contents for the original (as found on
> Amazon), the subject matter looks to be nearly identical between
the
> two publ
think the book from Pardo will tell
me more about Optimalization ? Or better give me an extra Optimalization hint
...
Regards, Ton.
- Original Message -
From: Mike
To: amibroker@yahoogroups.com
Sent: Tuesday, April 22, 2008 10:08 PM
Subject: [amibroker] Re: Differen
OK and thanks Mike ...
Regards, Ton.
- Original Message -
From: Mike
To: amibroker@yahoogroups.com
Sent: Tuesday, April 22, 2008 10:01 PM
Subject: [amibroker] Re: Difference betwee OOS and IS
Ton,
I was referring to the newer version published earlier this year &quo
Testing, And Optimization Of Trading Systems' could bring me some
> extra light in the tunnel ...
> >
> > Regards, Ton.
> >
> >
> > - Original Message -----
> > From: Mike
> > To: amibroker@yahoogroups.com
> > Sent: Tuesday, April 22, 20
>
>
> - Original Message -
> From: Mike
> To: amibroker@yahoogroups.com
> Sent: Tuesday, April 22, 2008 8:50 PM
> Subject: [amibroker] Re: Difference betwee OOS and IS
>
>
> Louis,
>
> Pardo's book is dedicated to the process of des
broker] Re: Difference betwee OOS and IS
Louis,
Pardo's book is dedicated to the process of designing a strategy that
can then be validated using walk forward analysis.
The sole purpose of the book is teach about the use, and importance,
of walk forward. If you are having troubl
Louis,
Pardo's book is dedicated to the process of designing a strategy that
can then be validated using walk forward analysis.
The sole purpose of the book is teach about the use, and importance,
of walk forward. If you are having trouble understanding the
concepts, this book may help to clar
Hi Mike,
Thanks for your reply. I understand what you say, but personnaly I would
appreciate to see other results than best results, because it makes it
possible to adjust a particular system. As an example, let's say that my
20,50 cross was first and now is second, hence the walk-forward choose
Louis,
I don't think that you are understanding how walk forward works. You
always want the *best* values for use in the next OOS. What you have
to understand is that after the last IS period, you will have a new
set of parameter values that you start trading *live* tomorrow.
You don't want 2n
Hi Mike (and everyone),
The problem I have with actual walk-forward is this: each parameters are
tested only once. As an example, if I choose a Cross ma (c,20), ma (c,50);
and optimize the two variables, each time it will only be tested once. But
there could be many results with the same variabl
Louis,
That's the whole point of walk forward analysis! The goal is to enter
each new OOS period with parameter values *most relevant* to what the
market is about to offer. When parameter values change, it is not a
sign of failure. It is a sign of adaptation to changing market
conditions.
If
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