[amibroker] Puzzled about Walk-Forward Optimization results

[Thomas Ludwig <Thomas.Ludwig@xxxxxx>]

Hello,

I've done a simple WFO and stumbled upon an issue which I'm unable to 
explain. First of all, this is the simple system I tested:

HDays=Optimize("High-Days",14,14,14,1);
LDays=Optimize("Low-Days",14,14,14,1);

stop=Optimize("ATR-Stop-Days",14,4,5,1);
mult=Optimize("ATR-Mult.",2,3,5,1);

Buy = Cross(C,Ref(HHV(H,HDays),-1));
Sell = Cross(Ref(LLV(L,LDays),-1),C);
Buy = ExRem(Buy, Sell);
Sell = ExRem(Sell, Buy);
Cover=Short=0;

ApplyStop(stopTypeTrailing, stopModePoint, mult*ATR(stop), True, True );

Buy and sell is at open on next day.

Note: I deliberately fixed the HDays and LDays parameters in order to 
better see the effect of the WFO. Thus, only the stop and mult 
parameters could change during optimization.

In the first attached picture WFO2.jpg you see the concatenated IS- and 
OOS equity curves. So far, so good.

Now I replaced the Optimize() functions for HDays and LDays with 
Param() - I didn't alter anything else! You see the result in WFO3.jpg.

IS equity changed from 148253.98 in the first test to 142124.97 in the 
second one and OOS equity from 98300.64 to 61157.95! 

How can replacing just the first two Optimize functions with Param for 
parameters that did not change during optimization anyway lead to these 
completely different results? 

Could someone please reproduce these results?

Regards,

Thomas

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Attachment: WFO2.jpg
Description: JPEG image

Attachment: WFO3.jpg
Description: JPEG image