Subject: [amibroker] Re: Fitness Criteria that incorporates
Walk
Forward Result
While optimization can be employed to search for a good
system
via
methods utilizing automated rule creation, selection and
combination
or generic pattern recognition most people
*Sent:* Thursday, May 08, 2008 5:42 PM
*Subject:* [amibroker] Re: Fitness Criteria that incorporates
Walk Forward
Result
There's a simple example of this in the UKB under Intelligent
Optimization ...
--- In amibroker@yahoogroups.com
amibroker
] mailto:amibroker@yahoogroups.com ps.com
Subject: [amibroker] Re: Fitness Criteria that incorporates Walk Forward
Result
I can see there have been a lot of discussions, mostly centred around
the processes and/or the methodology of optimization. While these are
good discussions, and with many points
: [amibroker] Re: Fitness Criteria that incorporates Walk Forward
Result
Greetings all --
I agree with Fred's comments just above this posting.
On the subject of calculation of an objective function. In my opinion, it is
important to consolidate all of the characteristics that are important
To: amibroker@yahoogroups.com
Subject: RE: [amibroker] Re: Fitness Criteria that incorporates Walk Forward
Result
On the question of defining fitness as a time series. I agree that having a
value every bar wouldnt be useful
However Looking at the following scenario, using CAR as an example
If we
didn't for exactly
this
reason.
_
From: amibroker@yahoogroups.com [mailto:[EMAIL PROTECTED]
On Behalf
Of Paul Ho
Sent: Wednesday, May 07, 2008 8:37 AM
To: amibroker@yahoogroups.com
Subject: [amibroker] Re: Fitness Criteria that incorporates Walk
Forward
Result
Hi
Personally I don't see in sample results as totally worthless nor as
particularly worthwhile ... I only see them as an initial yardstick
which results in a decision of whether or not additional work is
warranted i.e. if you can't make it work in sample then there's
probably no point in looking
IS metrics are always good because we keep optimizing until they
are (or words to that effect by HB) which is true.
It is not until we submit the system to an unknown sample, either an
OOS test, paper or live trading that we validate the system.
Discussing your points:
IMO we are talking
Yes, that is true.
What I am suggesting is that if the OOS holds up then I can use the
combined metrics of the IS and the OOS in say, Money Management or
other downstream analysis (assuming that the system rules remain
unchanged from the IS top model to the OOS validation).
When you say they
While optimization can be employed to search for a good system via
methods utilizing automated rule creation, selection and combination
or generic pattern recognition most people typically use optimization
to search for a good set of parameter values. The success of the
latter of course
If you are going to use the IS performance metrics how you suggest
then not only don't you believe they are worthless, you believe
they
are more worthwhile then I do ...
Only under the circumstances I mentioned (when the OOS is validated) -
just an idea - interested to hear what you
BTW Fred,
Have you considered posting an article on Batman to the UKB - it
doesn't appear to get its fair share of attention at present.
brian_z
--- In amibroker@yahoogroups.com, Fred [EMAIL PROTECTED] wrote:
If you are going to use the IS performance metrics how you suggest
then not only
to get there :)
thanks,
Ed
- Original Message -
From: Fred
To: amibroker@yahoogroups.com
Sent: Thursday, May 08, 2008 2:37 PM
Subject: [amibroker] Re: Fitness Criteria that incorporates Walk Forward
Result
While optimization can be employed to search for a good system via
I can't say much more about it then what's in the doc in the zip in
the files section.
--- In amibroker@yahoogroups.com, brian_z111 [EMAIL PROTECTED] wrote:
BTW Fred,
Have you considered posting an article on Batman to the UKB - it
doesn't appear to get its fair share of attention at
, May 08, 2008 2:37 PM
Subject: [amibroker] Re: Fitness Criteria that incorporates Walk
Forward Result
While optimization can be employed to search for a good system
via
methods utilizing automated rule creation, selection and
combination
or generic pattern recognition most
thanks. Will have a look,
Ed
- Original Message -
From: Fred
To: amibroker@yahoogroups.com
Sent: Thursday, May 08, 2008 5:42 PM
Subject: [amibroker] Re: Fitness Criteria that incorporates Walk Forward
Result
There's a simple example of this in the UKB under Intelligent
:* [amibroker] Re: Fitness Criteria that incorporates Walk Forward
Result
There's a simple example of this in the UKB under Intelligent
Optimization ...
--- In amibroker@yahoogroups.com, Edward Pottasch [EMAIL PROTECTED]
wrote:
hi,
While optimization can be employed to search
-
From: Fred
To: amibroker@yahoogroups.com amibroker%40yahoogroups.com
Sent: Thursday, May 08, 2008 2:37 PM
Subject: [amibroker] Re: Fitness Criteria that incorporates Walk
Forward Result
While optimization can be employed to search for a good system
via
methods
@yahoogroups.com
Subject: [amibroker] Re: Fitness Criteria that incorporates Walk Forward
Result
Howard,
Thanks for a very nice summary of the framework.
I would say that, since the training search is exhaustive (therefore
we must have identified all possible candidates for the strategy) the
best
:* Thursday, May 08, 2008 8:32 PM
*To:* amibroker@yahoogroups.com
*Subject:* [amibroker] Re: Fitness Criteria that incorporates Walk Forward
Result
Howard,
Thanks for a very nice summary of the framework.
I would say that, since the training search is exhaustive (therefore
we must have
: amibroker@yahoogroups.com [mailto:[EMAIL PROTECTED] On Behalf
Of Howard B
Sent: Thursday, May 08, 2008 11:34 PM
To: amibroker@yahoogroups.com
Subject: Re: [amibroker] Re: Fitness Criteria that incorporates Walk Forward
Result
Hi Brian --
I tend to agree with Fred. I, personally, do not use
@yahoogroups.com
[mailto:[EMAIL PROTECTED] *On
Behalf Of *brian_z111
*Sent:* Thursday, May 08, 2008 8:32 PM
*To:* amibroker@yahoogroups.com
*Subject:* [amibroker] Re: Fitness Criteria that incorporates
Walk Forward
Result
Howard,
Thanks for a very nice summary of the framework.
I
Of *brian_z111
*Sent:* Thursday, May 08, 2008 8:32 PM
*To:* amibroker@yahoogroups.com
*Subject:* [amibroker] Re: Fitness Criteria that incorporates
Walk Forward
Result
Howard,
Thanks for a very nice summary of the framework.
I would say that, since the training search is exhaustive
Hi Fred
Yes, I want to use the composite fitness to compare different systems
and or use it as a feedback in deciding on different parameter sets
of the same system, This is not too dissimilar to how sensitivity
analysis is incorporated into the fitness criteria. The only
difference is that
@yahoogroups.com [mailto:[EMAIL PROTECTED] On Behalf
Of Paul Ho
Sent: Wednesday, May 07, 2008 8:37 AM
To: amibroker@yahoogroups.com
Subject: [amibroker] Re: Fitness Criteria that incorporates Walk Forward
Result
Hi Fred
Yes, I want to use the composite fitness to compare different systems
and or use
@yahoogroups.com [mailto:[EMAIL PROTECTED] On Behalf
Of Paul Ho
Sent: Wednesday, May 07, 2008 8:37 AM
To: amibroker@yahoogroups.com
Subject: [amibroker] Re: Fitness Criteria that incorporates Walk Forward
Result
Hi Fred
Yes, I want to use the composite fitness to compare different systems
.
_
From: amibroker@yahoogroups.com [mailto:[EMAIL PROTECTED] On Behalf
Of Paul Ho
Sent: Wednesday, May 07, 2008 8:37 AM
To: amibroker@yahoogroups.com
Subject: [amibroker] Re: Fitness Criteria that incorporates Walk Forward
Result
Hi Fred
Yes, I want to use the composite fitness to compare
@yahoogroups.com
Subject: RE: [amibroker] Re: Fitness Criteria that incorporates Walk Forward
Result
Paul,
One other word of caution .
If you are using OOS testing to drive the selection process of parameters to
be used in sample then you run the risk of invalidating the OOS.
I could have
During in sample optimization Fitness is adjusted for sensitivity if users
direct it to be so ...
- Original Message -
From: Paul Ho
Date: Wednesday, May 7, 2008 10:26 am
Subject: RE: [amibroker] Re: Fitness Criteria that incorporates Walk Forward
Result
To: amibroker@yahoogroups.com
Paul,
Let's take this offline ... Tell me what you have in mind via email and I'll
consider it ...
- Original Message -
From: Paul Ho
Date: Wednesday, May 7, 2008 12:28 pm
Subject: RE: [amibroker] Re: Fitness Criteria that incorporates Walk Forward
Result
To: amibroker@yahoogroups.com
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