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[amibroker] Re: Walk-Forward Optimization - worst in-sample params' OOS results



PureBytes Links

Trading Reference Links

You can chart the OOS and IS equity results to see combined 
performance. See Plot statements of following article in knowledge 
base: http://www.amibroker.com/kb/

As for "worst" results. Just create a backtester custom metric which 
is the opposite of the metric of interest (e.g. multiply by -1). Then 
set your custom metric as the optimization target of the walk forward 
in the walk forward settings tab of the AA window. For example make a 
custom metric calculated as KRatio * -1.

http://www.amibroker.com/guide/a_custommetrics.html

Mike

--- In amibroker@xxxxxxxxxxxxxxx, "john_dxd_smith" 
<john_dxd_smith@xxx> wrote:
>
> 
> Several years ago I bought $695 TradeStation add-on to do WFO.
> As far as I know that was the only retail software capable of WFO at
> that time.
> I played around a while and found, in many cases, worst in-sample
> parameters performed better out-of-sample than best in-sample ones.
> I haven't used the software since because it's so cumbersome to set 
it
> up to do WFO.
> 
> Now that AmiBroker can do WFO seamlessly, I'm trying to replicate 
what
> I did years ago.
> 
> 1)
> Is OOS combined performance report available anywhere ?
> 
> 2)
> How can I produce OOS results from "worst" in-sample parameters ?
> 
> best regards,
> DXD
>



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