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Mike,
Thanks for your reply.
I wasn't sharp enough to think of custom metric.
Yes, it'll do for "worst."
> 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/
I was thinking of other performance stats like "combined" OOS #trades,
Avg Profit/Loss, etc. as in normal performance report.
I can import walkforward.html under AmiBroker directory into Excel and
calculate myself but.. Sharpe Ratio ?
I was hoping all the temporary files were stored somewhere and there
was a way to combined them to produce "worst", "2nd best", "100th
best," etc OOS results.
best regards,
DXD
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> 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@> 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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