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[amibroker] Re: Walkforward test question



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I believe that the advised approach is to alter your arrays to be 
state arrays rather than signal arrays.

e.g. Buy = Flip(Buy, Sell);

Your position will still be closed in the previous OOS, but it will 
immediately be reopened in the current OOS if the condition still 
applies.

Mike

--- In amibroker@xxxxxxxxxxxxxxx, "dloyer123" <dloyer123@xxx> wrote:
>
> Is there a way to keep trades open at the end of the out of sample 
> walkforward step, rather than "mark to market" at the end of the 
step?
> 
> The problem is that closing trades at the end of each step does not 
> model trades that last longer than the walkforward step size.
> 
> I reduced the walkforward step size to 1 day, but this has the 
implied 
> effect of closing each trade at the end of the day in the out of 
sample 
> data. 
> 
> What I really want is to confine trade entries to the step window, 
but 
> let the trade end natrually in computing the out of sample 
performance, 
> as if I updated the entry parameters each step.
>



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