Howard,
Thank you for put the pseudo code together. It will be much easier to show what
I meant. Please see in the code.
> ///////////////////////
> // ConditionSwitch.afl
> //
> // Determine the current condition
> //
> // Use whatever foreign series and indicators you need
> // to set Condition to an integer value
> // Condition = 1 or 2;
> //
> // Use the switch statement to set the parameter values
> Switch (Condition)
> {
> Case 1:
> V1 = 1 * V1(Optimization results from 1/1/ 2010 to 1/31/2010);
> V2 = 1 * V2(Optimization results from 1/1/ 2010 to 1/31/2010);
> Break;
> Case 2:
> V1 = 2 * V1(Optimization results from 1/1/ 2010 to 1/30/2010);
> V2 = 2 * V2(Optimization results from 1/1/ 2010 to 1/30/2010);
> Break;
> }
> // Proceed with your trading system to use on Out of Sample trading on
> 2/1/2010
> // using values of V1 and V2 that depend on broad conditions.
> Buy = something related to V1 and V2;
> Sell = ;
and then repeat with V1 and V2 from Optimization results from 1/2/ 2010 to
2/1/2010, using the same logic to alter V1 and V2 and apply them on OS trading
on 2/2/2010
repeat again with IS 1/3/2010 to 2/2/2010 and OS 2/3/2010...
Not sure if writing the whole walk forward backtest part using CBT is the only
way to do it. Since there's already automatic WF Backtest functionality in AB,
it would be great if automatic WF BT can be controlled and manipulated in afl
code.
I appreciate your input. Have a great weekend!
Ade
--- In [email protected], Howard B <howardba...@...> wrote:
>
> Hi Ade --
>
> I may be misunderstanding, but I don't see that CBT will be involved. I'm
> thinking something like this may work -- all in pseudo-afl code.
>
>
> Or do you have something else in mind?
>
> Thanks,
> Howard
>
>
> On Fri, Au
> g 20, 2010 at 12:37 AM, adexie <ade...@...> wrote:
>
> >
> >
> > thanks Howard for your suggestion. I guess the difficult part for me is how
> > to code it up. I found this online,
> >
> > http://www.amibroker.com/kb/2008/05/19/historical-portfolio-backtest-metrics/
> > but it's not very comprehensive on custom backtest. Do you know of any
> > other documentation on this topic?
> >
> > Thanks very much. And btw, big fan of your trading system book!
> >
> > Ade
> >
> > --- In [email protected] <amibroker%40yahoogroups.com>, Howard B
> > <howardbandy@> wrote:
> > >
> > > Hi Ade --
> > >
> > > You might add logic code to your afl that identifies the category of
> > market
> > > condition, then sets the parameters the way you want them for that
> > > condition, and then continues on with the optimization.
> > >
> > > Perhaps using the Switch statement.
> > >
> > > Thanks,
> > > Howard
> > >
> > > On Thu, Aug 19, 2010 at 9:20 AM, adexie <adexie@> wrote:
> > >
> > > >
> > > >
> > > > Greetings all,
> > > >
> > > > I was wondering if anyone knows whether it is possible to do customized
> > > > walk forward backtesting with afl code? So I have control over what
> > > > parameter from IS to use in OS. For example, each time after a IS
> > > > optimization, i would like to modify the parameter from the
> > optimization
> > > > based on current market condition and then use that in OS, Instead of
> > > > directly use the best parameter in the OS test.
> > > >
> > > > Any input is greatly appreciated.
> > > >
> > > > Best,
> > > > Ade
> > > >
> > > >
> > > >
> > >
> >
> >
> >
>
