Louis, in the IS period your system is optimized, then the best values from the optimization are used to perform a test over the IS and OOS periods.
If the OOS results are worse than the IS results, this means that the system doesn't generalize well enough. BTW: This topic is very well explained in chapter 20 of Howard's book. I also suggest to look at http://www.amibroker.com/kb/2008/02/12/getting-started-with-automatic-walk-forward-optimization/ . I must say, that walk forward testing has completely changed my way of thinking. It's much easier to see now if a trading system is worth a second look. Greetings, Thomas > Hi, > > I've been experimenting with walking-forward, and I have some > questions regarding how it works. > > I ran a complete random optimization or buying/selling using the > variables I set (a MCS in fact), and systematically OOS results were > worst than IS. I don't understand how it works, because whatever if > the sampling is IS or OOS it is always the same variables that are in > place. > > Anyone could explain how this work? > > Thanks, > > Louis ------------------------------------ Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: http://www.amibroker.com/devlog/ For other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> Your email settings: Individual Email | Traditional <*> To change settings online go to: http://groups.yahoo.com/group/amibroker/join (Yahoo! ID required) <*> To change settings via email: mailto:[EMAIL PROTECTED] mailto:[EMAIL PROTECTED] <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
