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> Hello
> It's very interesting the walk forward optimization. I use it with a
> 2 months In-sample period, and 1 month Out of sampple period, this
> is, 12 steps every year to see if my systems are good.
> But i have a doubt: After processing several years of the
> optimization, I have a chart with the out of sample equity, but ..
> How could I obtain the exact trades of all the out of sample equity?
I don't think that's possible. TJ might add that in future versions of
AB.
> and if it's not possible, is there any way to calculate the Draw
> Down, Sharpe etc, of the out-of-sample results?
>
> Any answer would be very much appreciated
>
Try the attached AFL file that calculates some metrics and more.
Greetings,
Thomas
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SetChartBkColor( colorWhite );
SetChartOptions( 0, chartShowDates|chartWrapTitle );
iseq=Foreign("~~~ISEQUITY", "C");
oseq=Foreign("~~~OSEQUITY", "C");
x = SelectedValue(BarIndex());
function FirstBarIndex(Condition)
{
TotalBarsIndex = x;
a = 0;
Counter = 0;
for (a = 0 ;a < TotalBarsIndex; a++)
{
Counter = Counter+1;
if (
IsTrue(Condition[a])
)
a = TotalBarsIndex;
}
result = Counter-1;
return result;
}
isfirst=FirstBarIndex(iseq);
osfirst=FirstBarIndex(oseq);
isTotalBars=x-isfirst;
osTotalBars=x-Osfirst;
isSlope = LinRegSlope(iseq,istotalbars);
osSlope = LinRegSlope(oseq,ostotalbars);
/*lastbar = BarIndex();
al = LastValue( ValueWhen( lastbar, LinRegSlope( iseq, isTotalBars ) ) );
bl = LastValue( ValueWhen( lastbar, LinRegIntercept( iseq, isTotalBars ) ) );
isLr = al * ( BarIndex() - isfirst ) + bl;
a2 = LastValue( ValueWhen( lastbar, LinRegSlope( oseq, osTotalBars ) ) );
b2 = LastValue( ValueWhen( lastbar, LinRegIntercept( oseq, osTotalBars ) ) );
osLr = a2 * ( BarIndex() - osfirst ) + b2;*/
//R-squared
isR2=(Correlation(Cum( 1 ),iseq,istotalbars))^2;
osR2=(Correlation(Cum( 1 ),oseq,ostotalbars))^2;
//K-Ratio
iskratio=100000*isSlope/(StdErr(iseq,istotalbars)*istotalbars);
oskratio=100000*osSlope/(StdErr(oseq,ostotalbars)*ostotalbars);
//CAR
isCAR=100*((iseq/iseq[isfirst])^(252/isTotalBars) -1);
osCAR=100*((oseq/oseq[osfirst])^(252/osTotalBars) -1);
benchCARis=100*((C/C[isfirst])^(252/isTotalBars) -1);
benchCARos=100*((C/C[osfirst])^(252/osTotalBars) -1);
//RelativeCAR (%)
//isRelCAR=100*((isCAR/benchCARis)-1);
//osRelCAR=100*((osCAR/benchCARos)-1);
isRelCAR=isCAR/benchCARis;
osRelCAR=osCAR/benchCARos;
//Drawdown
isdr=iseq-Highest(iseq);
osdr=oseq-Highest(oseq);
ismaxdr=Lowest(isdr);
osmaxdr=Lowest(Osdr);
isdrperc=100*(iseq/Highest(iseq)-1);
osdrperc=100*(oseq/Highest(oseq)-1);
ismaxdrperc=Lowest(isdrperc);
osmaxdrperc=Lowest(Osdrperc);
//CAR/MaxDD
iscarmdd=-isCAR/ismaxdrperc;
oscarmdd=-osCAR/osmaxdrperc;
//UPI
CumISdr=Cum(isdrperc^2);
CumOSdr=Cum(osdrperc^2);
isUI=sqrt(CumISdr/(x-isfirst));
osUI=sqrt(CumOSdr/(x-osfirst));
isUPI=(isCAR-5.4)/isUI;
osUPI=(OsCAR-5.4)/osUI;
//Walk-Forward Efficiency
WFE=OsRelCAR/isRelCAR;
InitialEquity = GetOption("InitialEquity");
//IS Buy&Hold performance
gainIS=C/C[isfirst];
bhis=InitialEquity*gainis;
if( ParamToggle("Show IS Equity and Buy + Hold?", "No|Yes", 1 ) )
{
PlotForeign("~~~ISEQUITY","In-Sample Equity", colorRed, styleLine|styleThick);
Plot( bhis, "Buy&Hold IS", colorOrange);
}
//OOS Buy&Hold performance
gainOS=C/C[osfirst];
bhos=InitialEquity*gainos;
if( ParamToggle("Show OOS Equity and Buy + Hold?", "No|Yes", 1 ) )
{
PlotForeign("~~~OSEQUITY","Out-Of-Sample Equity", colorGreen, styleLine|styleThick);
Plot( bhos, "Buy&Hold OOS", colorTurquoise );
}
/*//Linear Regression Lines
if( ParamToggle("Show lin. reg.", "No|Yes", 0 ) )
Plot( isLr , "Linear Reg",colorRed, styleThick )
AND Plot( osLr , "Linear Reg", colorGreen, styleThick );*/
//Relative Performance
isrelperf=iseq/bhIS;
osrelperf=oseq/bhOS;
if( ParamToggle("Show IS Rel. Performance?", "No|Yes", 0 ) )
Plot( isrelperf , "IS Rel. Performance",ColorRGB( 220, 128, 128 ) , styleThick|styleOwnScale|styleNoTitle );
if( ParamToggle("Show OOS Rel. Performance?", "No|Yes", 0 ) )
Plot( osrelperf , "OOS Rel. Performance",ColorRGB( 128, 220, 128 ), styleThick|styleOwnScale|styleNoTitle );
//DD
if( ParamToggle("Show IS Drawdown", "No|Yes", 0 ) ) Plot(isdr, "IS Drawdown", colorDarkRed, styleArea );
if( ParamToggle("Show IS Max. Drawdown?", "No|Yes", 0 ) ) Plot(ismaxdr,"IS Max. Drawdown",colorBlue);
if( ParamToggle("Show OOS Drawdown", "No|Yes", 0 ) ) Plot(osdr, "OOS Drawdown", colorDarkGreen, styleArea );
if( ParamToggle("Show OOS Max. Drawdown?", "No|Yes", 0 ) ) Plot(osmaxdr,"OOS Max. Drawdown",colorBlue);
Title = "{{NAME}} - {{INTERVAL}} {{DATE}} {{VALUES}}"
+"\n \\c04IS R2: " + WriteVal(isR2)+" K-Ratio: "+WriteVal(iskratio)+" CAR(%): "+WriteVal(isCAR,1.1)+" BenchmarkCAR(%): "+WriteVal(benchCARis,1.1)
+" RelativeCAR: "+WriteVal(isRelCAR,1.1)
+" Max DD(%): "+WriteVal(ismaxdrperc,1.1)+" CAR/MDD: "+WriteVal(iscarmdd,1.2)+" UPI: "+WriteVal(isUPI,1.2)
+"\n \\c27OOS R2: " + WriteVal(OsR2)+" K-Ratio: "+WriteVal(oskratio)+" CAR(%): "+WriteVal(osCAR,1.1)+" BenchmarkCAR(%): "+WriteVal(benchCARos,1.1)
+" RelativeCAR: "+WriteVal(osRelCAR,1.1)
+" Max DD(%): "+WriteVal(osmaxdrperc,1.1)+" CAR/MDD: "+WriteVal(oscarmdd,1.2)+" UPI: "+WriteVal(osUPI,1.2)
+"\n \\c-1Walk-Forward Efficiency(%): "+WriteVal(WFE,1.1);
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