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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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