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Hello,
All equity curves ARE CORRECT.
=========================
Please read the manual. Trades at the END of section are closed
and you will experience flat line UNTIL next section entry signals.
If you want trades to be opened at the beginning, use STATE form of signals
(i.e. FLIP function http://www.amibroker.com/f?flip )
Buy = Flip( Buy, Sell );
Also REMOVE ExRem calls, they are completely redundant as Cross
already gives signal form.
I would strongly recommend you to read Howards book too. You will
understand WF better.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "dallen2507" <dallen1@xxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, June 12, 2008 9:29 PM
Subject: [amibroker] Walk Forward Test
> TJ,
> I just got version 5.10.1 and was testing the WF with a simple ema
> cross over system. I was using SPY, long and short, hours, and easy
> mode intraday, no stops. start = 1/9/08, end 1/23/08, last =
> 6/10/08, step 5 trading days, not anchored, target = car/mdd, trade
> = close, delay = 0.
> It went through the WF test ok. At the end of the test, their was a
> spread sheet on the IS and OOS results for each test range.
> I did not see a summary of the Overall IS and OOS statics, like Car
> and system % MDD. How do I find these stats?
> When I plot the IS and OOS equity curves, I see random FLAT lines of
> varing length in both curves ( I'm trading Long and short only, with
> no sell or cover holding periods). Some of the Flat lines happen
> within the IS range. Both equity curves look Wrong! I have tried
> several systems, but always get similar equity curves that look
> WRONG!
> The test code was:
> per1 = Optimize("per1",12,10,70,5);
> per2 = Optimize("per2",4,1,9,1);
> sma = EMA(C,per1); // slow ema
> fma = EMA(C,per2); // fast ema
> Buy = Cross(fma,sma); Sell = Cross(sma,fma);
> Buy = ExRem(Buy,Sell); Sell = ExRem(Sell,Buy);
> Short = Sell; Cover = Buy;
>
> If I just backtest with the selected parameters over a IS range with
> A Flat line within the IS plot, The equity curve is correct.
> This just does not look right.
> What am I doing wrong?
> Dan
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> ------------------------------------
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
> Yahoo! Groups Links
>
>
>
------------------------------------
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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