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> Ok, I was talking abour another problem.
> What does mean in the chart the lines Buy&Hold IS and Buy&HoldOOS?
With
InitialEquity = GetOption("InitialEquity");
the code retrieves the Initial Equity you input in Automatic Analysis ->
Settings -> General. Now let's assume that you're doing a walk-forward
optimization for the ^OEX from 01/01/2000 with a 2-year IS period
(Automatic Analysis -> Settings -> Walk-Forward). Buy&HoldIS would tell
you how your invested capital would have performed from the beginning of
the IS period until today if you invested it in the ^OEX on 01/01/2000 -
so you can compare it with the IS equity line of your system.
Buy&HoldOOS does the same for the OOS period starting on 01/01/2002 in
this example - so you can compare it with your OOS equity line.
> For I have the same amount of dollars in OOS equity and Buy&Hold
> equity..
Strange. Without knowing the code of the trading system for which you're
performing a walk-forward optimization I can't tell what's wrong.
> And the usual behaviour for just Buy and hold is to be less
> than a good system..
> there's something I misunderstand..
I'm sorry - I don't understand. In general I suggest that you read the
chapter about Walk-Forward in the Amibroker manual. I also strongly
recommend the books by Howard Bandy - see http://blueowlpress.com/
Greetings,
Thomas
>
> bye
>
> --- In amibroker@xxxxxxxxxxxxxxx, Thomas Ludwig <Thomas.Ludwig@xxx>
wrote:
> > > 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?
> >
> > That OOS results are worse than IS results is normal. You should
> > also bear in mind that the concatenated IS period is not identical
> > to the
>
> OOS
>
> > period. That's why IS and OOS CARs are not directly comparable.
>
> Example:
> > If you start your walk-forward optimization on 01/01/2000 with a,
> > say, 2-year IS period it's obvious that both CARs are very
> > different. That's why in my code Walk-forward Efficiency (WFE) is
> > NOT calculated as OOS- CAR/IS-CAR (as Robert Pardo suggests) but
> > rather as RELATIVE IS- CAR/RELATIVE OOS-CAR (where Relative CAR is
> > IS-CAR or OOS-CAR
>
> divided by
>
> > the benchmark CAR for the respective period). This makes more
> > sense, IMHO.
> >
> > > 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..
> >
> > I think you should use both my and TJ's code - they save different
> > purposes. MaxDD as a percentage is shown for IS and OOS in my code.
> > And if you right-click the pane and open the parameters window you
> > can also plot DD and MaxDD as absolute figures both for IS and OOS.
> > But I
>
> strongly
>
> > suggest that you plot it only for, e.g., OOS (and disable all the
> > IS plots - or vice versa!) - otherwise the pane becomes too
> > cluttered. Particularly if you also plot IS and OOS Relative
> > Performance ... ;-)
> >
> > Greetings,
>
> ------------------------------------
>
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**** IMPORTANT ****
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*********************
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*********************
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