[amibroker] Re: How do I Walk Forward Test non-optimizable systems?

["bruce1r" <brucer@xxxxxxxxx>]

Couple of ways to do this - just note that -

1. RotationalMode( period ) -> WalkForward approach

IOW, a periodic rotation, say when -

upi = ...
EnableRotationalTrading();
PositionScore = IIf( DayOfWeek() < Ref( DayOfWeek(), -1 ), upi,
scoreNoRotate);

This inherently a walk forward using the UPI on the first day of the
week to decide what to hold going forward.


2. New walk-forward facility

You might want to do it with the walk-forward facility if you wanted
to optimize the UPI calculation parameters.  But let's say you had no
optimizable parameters, you could use the new walk-forward facility
with a dummy variable, say -

dummy = Optimize( "dummy", 1, 1, 1, 1 );

(But, IMO, there may be a couple of boundary conditions questions that
need to be addressed in the walk-forward function before this will do
what I think you are after.)


-- Bruce




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