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Hello,
I have the following possibly simple coding problem. Let's assume that I
perform a Walk-Forward Optimization with the first in-sample period from
01/01/2000 to 31/12/2000 with a step of 3 months. When using Easy mode
(EOD) and checking "Use today", the end day for the last IS and OOS
periods is 30/09/2008.
So both IS and OOS equity are calculated by AB up to 30/09/2008 - but
from 01/10/2008 until today both are nevertheless plotted as horizontal
lines. This means that the metrics (like CAR) calculated for, e.g., OOS
equity are incorrect if the range from OOS[0] to the last value of OOS
is used. Correct would be using the range from OOS[0] to
OOS[30/09/2008]. A similar problem arises if I want to show the
Relative Performance of the trading system by plotting the ratio OOS
equity/C. For the period from 01/10/2008 until today this line makes no
sense at all.
So my problem is: How can I programatically find the end day for the last
IS and OOS periods in order to calculate the metrics in a correct way?
And how can I plot the Relative Performance line only up to that date?
Greetings,
Thomas
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