>
> This version includes also features introduced earlier (in 5.03) such
> as new interval and symbol linking.
>
> BELOW you will find some additional information about walk-forward
> optimization introduced in this beta.
> Best regards,
> Tomasz Janeczko
>
amibroker.com
> *WALK FORWARD OPTIMIZATION*
> The automatic Walk forward optimization is a system design and
> validation technique in which
> you optimize the parameter values on a past segment of market data
> ("in-sample" ), then test the system forward in time on data following
> the optimization segment ("out-of-sample" ). You evaluate the system
> based on how well it performs on the test data ("out-of-sample" ), not
> the data it was optimized on.
> To use Walk-Forward optimization please:
> 1. Go to Tools->Automatic Analysis
> 2. Click Settings button, then switch to "Walk-Forward tab"
> 3. Here you can see Walk forward settings for In-sample optimization,
> out-of-sample backtest
> "Start" and "End" dates mark initial period begin / end
> This period will be moved forward by "Step" until the "End" reaches
> the "Last" date.
> The "Start" date can move forward by "step" too, or can be anchored
> (constant) if "Anchored" check is on.
> If you mark "Use today" then "Last" date entered will be ignored and
> TODAY (current date) will be used instead
>
> By default an "EASY MODE" is selected which simplifies the process of
> setting up WF parameters.
> It assumes that:
> a) Out-of-sample segment immediatelly follows in-sample segment
> b) the length of out-of-sample segment equals to the walk-forward step
> Based on these two assumptions the "EASY" mode takes in-sample END
> date and sets
> out-of-sample START date to the following day. Then adds in-sample
> STEP and this becomes out-of-sample END date.
> In-sample and Out-of-sample step values are set to the same values.
> The "EASY" mode guarantees correctness of WF procedure settings.
> In the "ADVANCED" mode, the user has complete control over all values,
> to the extent that
> they may not constitute valid WF procedure.
> The interface allows to selectivelly disable in-sample and
> out-of-sample phases using checkboxes at top
> (for special things like runnign sequential backtests without
> optimization) .
> All settings are immediatelly reflected in the PREVIEW list that shows
> all generated IS/OOS segments
> and their dates.
>
> The "Optimization target" field defines the optimization raport COLUMN
> NAME that
> will be used for sorting results and finding the BEST one. Any
> built-in column can be used
> (as appears in the optimization output), or you can use any custom
> metric that you define
> in custom backtester. The default is CAR/MDD, you can however select
> any other built-in metric from the combo.
> You can also TYPE-IN any custom metric that you have added via custom
> backtester interface.
>
> 4. Once you defined Walk-Forward settings, please go to Automatic
> Analysis and
> 5. press the dropdown ARROW on the Optimize button and select "Walk
> Forward Optimization"
> This will run sequence of optimizaitons and backtest and the results
> will be displayed in
> the "Walk Forward" document that is open in the main application frame.
> When optimization is running you can click "MINIMIZE" button on the
> Progress dialog
> to minimize it - this allows to see the Walk Forward output during the
> optimization steps.
> *IN-SAMPLE and OUT-OF-SAMPLE combined equity*
> Combined in-sample and out-sample equities are available by
> ~~~ISEQUITY and ~~~OSEQUITY composite tickers
> (consecutive periods of IS and OOS are concatenated and scaled to
> maintain continuity of equity line - this approach assumes that you
> generally speaking are compounding profits)
> To display IS and OOS equity you may use for example this:
> PlotForeign ( "~~~ISEQUITY" , "In-Sample Equity" , *colorRed* ,
> *styleLine* );
> PlotForeign ( "~~~OSEQUITY" , "Out-Of-Sample Equity" , *colorGreen* ,
> *styleLine* );
> *Title* = "{{NAME}} - {{INTERVAL}} {{DATE}} {{VALUES}}" ;
> *INTERACTIVE "BUTTONS" SAMPLE*
> New functionality in GetCursor* functions:
>
> GetCursorXPosition( mode = 0 )
> GetCursorYPosition( mode = 0 )
>
> mode = -1 - (old compatibility mode) - x - value gives X-coordinate in
> DateTime format. y - value gives PRICE. Values are reported no matter
> where is the mouse (i.e. may refer to window different than current if
> mouse is outside current window).
> mode = 0 - (default) x - value gives X-coordinate in DateTime format.
> y - value gives PRICE. Returns NULL if mouse is outside current window
> mode = 1 - x, y - are mouse coordinates expressed in screen PIXELS.
> Returns NULL if mouse is outside current window
>