Thanks you gentlemen, this conversation has been extremely informative. I
commend you on keeping the scientific rigour and not let it obfuscate the
communication.
best,
Eswar
2009/7/15 brianw468
>
>
> Hi Keith,
> And many thanks for your excellent commonsense suggestions. Following this
> up ha
Hi Keith,
And many thanks for your excellent commonsense suggestions. Following this up
has proved to be a useful learning experience (including a fair amount of
re-learning!).
The first lesson is that one should always do some optimisation and backtesting
before leaping into a full-blown WF ana
Brian,
the only plausible explanation that comes to my mind is that the IS equity at
the beginning of IS2 is different from the OOS equity at the beginning of OOS1.
These capital restraints might result in a diifferent number of trades.
Regards,
Thomas
On 14.07.2009, 06:10:14 brianw468 wrote:
Brain --
I don't know what the problem or the solution is. However, this should
be fairly easy for you to debug.
All you should have to do is repeat the walk forward process, one step
at a time:
1. Optimize for IS1. Then using the resulting parameters, backtest
IS1, and record the trades.
Hi Mike,
And thanks for your comments. However, the main point I must emphasise is that
the OOS1 and IS2 time periods are identical, which is why I find the results so
disturbing. Regardless of the fitness function used, the new IS results should
at least be able to equal those from the previous
Hi,
If your IS time frame is not the same as your OOS time frame (e.g 2 year IS
with rolling 6 month OOS) then the values used in the preceding OOS can end up
more profitable than the optimized values over the following IS since the IS
period is optimized over a different (e.g. longer) data set
Oops,
This message became a mess as Yahoo apparently removed most of the spaces,
destroying the layout..
Results in the format (Sample, Profit, No. of Trades) are:
(IS1,533,1) (OOS1,1126,2) (IS2,474,1) (OOS2,-537,2) (IS3,43,1) (OOS3,784,2).
I hope this comes out a bit clearer!
Brian
--- In amib
