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Ah, fantastic. Very good code.
Just a doubt: Do I use the code with the ~~~ISEQUITY, after running a
WalkForward, or with the ~~~ISEQUITY or with the ~~~BESTEQUITY??
Although I think all of them are right.. ?¿
Thanks
--- In amibroker@xxxxxxxxxxxxxxx, Thomas Ludwig <Thomas.Ludwig@xxx> wrote:
>
>
> > 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
>
>
> 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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