Tim, didn't see your post before I made mine. Don't understand the issue with
"the out of sample data becomes in sample far too quickly, so the benefit of this approach can be overstated"
Could you please expand on this?
Search found 49 matches
- Tue Nov 10, 2009 3:38 pm
- Forum: Testing and Simulation
- Topic: Does TBB support walk-forward tests?
- Replies: 10
- Views: 9746
- Tue Nov 10, 2009 3:33 pm
- Forum: Testing and Simulation
- Topic: Does TBB support walk-forward tests?
- Replies: 10
- Views: 9746
The only way I've been able to do it is to: 1. Set up Print Output to print dates, parameter values and objective function (eg MAR) you want to optimize 2. Do optimization run using start date stepping 3. Sort Print Output by date then by objective function in Excel 4. Do walk forwards based on best...
- Mon Jul 06, 2009 4:46 pm
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 52804
- Wed Apr 22, 2009 3:18 am
- Forum: Brokers
- Topic: FX Rebates
- Replies: 0
- Views: 5949
FX Rebates
Anyone have any experience with FXRebates or similar firms? http://www.fxrebates.com/ Seems too good to be true, what's the catch - perhaps an indication the spreads are too high on the brokers they cover? However, one of their brokers is FXCM, which seems reasonably competitive on retail FX. Thanks.
- Sat Jan 24, 2009 4:32 pm
- Forum: Testing and Simulation
- Topic: Discretion
- Replies: 8
- Views: 5773
Alp and everyone Would be very interested in your objective criteria for reoptimisation time intervals. My current thinking is as short as possible taking into account 90% remaining degrees of freedom and having at least 50 trades. Of course the reoptimisation process itself may yield results with l...
- Sun Jan 11, 2009 12:33 am
- Forum: Brokers
- Topic: Brokers with downloadable data
- Replies: 0
- Views: 5783
Brokers with downloadable data
Interested in names of brokers (and positive or negative experiences with them) whose platforms allow historical data export in a format which can be used for testing in Trading Blox. In general, I've found data exportable to Excel can be manipulated to format accepted by TB. It would seem to me a b...
- Sun Jan 11, 2009 12:13 am
- Forum: Testing and Simulation
- Topic: Gold & Silver cash price data
- Replies: 7
- Views: 5531
- Sat Jan 10, 2009 3:43 pm
- Forum: Testing and Simulation
- Topic: Gold & Silver cash price data
- Replies: 7
- Views: 5531
- Sat Jan 10, 2009 2:08 pm
- Forum: Testing and Simulation
- Topic: Gold & Silver cash price data
- Replies: 7
- Views: 5531