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Thanks Thomas. Very good collection of parameters.
I see my system falls from CAR 64 in sample, to CAR 30 out-of-sample.
But I think something must be wrong: The result of the buy and hold is
exactly the same that the OS result.
Do you have this problem?
And, I had already seen the gfx code in the Amibroker page. It's fine,
but it does not show DD, and total CAR.. although I didn't test the
trick of changing the code to see OS equity line..very good..
Greetings.
--- In amibroker@xxxxxxxxxxxxxxx, Thomas Ludwig <Thomas.Ludwig@xxx> wrote:
>
> 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@>
> 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);
> >
> > ------------------------------------
> >
> > **** IMPORTANT ****
> > This group is for the discussion between users only.
> > This is *NOT* technical support channel.
> >
> > *********************
> > TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail
> > directly to SUPPORT {at} amibroker.com
> > *********************
> >
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> > *********************************
> > Yahoo! Groups Links
> >
> >
> >
>
------------------------------------
**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
*********************
TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
*********************
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
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