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I forgot to mention one thing: In addition to my code you can also use
TJ's excellent code from http://www.amibroker.com/kb/2007/10/11/low-
level-gfx-example-yearlymonthly-profit-chart/ and replace
eq = Foreign("~~~EQUITY", "C" );
by
eq = Foreign("~~~OSEQUITY", "C" );
in order to analyse your OOS results a little bit closer.
Greetings,
Thomas
> 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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**** IMPORTANT ****
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