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If you are using a Custom Metric as your Optimization target in the
Walk-Forward settings, you should hand-check your results. I am
frequently getting incorrect results, in that the highest value of the
Custom Metric is not the one selected by W-F for a date range.
I documented the problem in the 5.08beta to AB support on May 13th and
have not received a reply as yet.
This is the metric that is currently causing(?) the problem:
[code snippet]
ProfitMetric = ( NetProfitpc + RecFactor * 20 ) * 10 ;//make them
~equivalant
if( 0 > NetProfitpc AND 0 > RecFactor AND 0 < ProfitMetric )//if
both negative & result positive
ProfitMetric = abs( ProfitMetric );
bo.AddCustomMetric( "Profit", ProfitMetric );
[end code snippet]
Other of my metrics exhibit the same type of incorrect results in my
testing. I'm using Release 5.10.1 now, so I thought it was appropriate
to bring this to the attention of the group.
Good trading,
Joe
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