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Hi Jack --
Can you provide more information? Code being used, setup for walk forward, etc. Send me a private message, if you wish. howard at blueowlpress dot com.
Thanks,
Howard
On Wed, Jul 15, 2009 at 12:24 PM, jacklweinberg <jacklweinberg@xxxxxxxxx> wrote:
I seem to have a major discrepancy in the AB walk forward analysis.
1. The (partial) results of a walk forwrd analysis:
Mode Begin End No. Net Profit
OOS 1/1/2004 12/31/2004 1 15127.33
OOS 1/1/2005 12/31/2005 1 20248.16
OOS 1/1/2006 12/31/2006 1 33777.22
OOS 1/1/2007 12/31/2007 1 10681.52
OOS 1/1/2008 12/31/2008 1 18440.27
This shows that the out of sample Net Profit is: $98274.5
(adding up the Net Profit column for the OOS mode).
However, in the ~~~OSEQUITY indicator, the total net profit is $118594
a difference of $20,320! very significant! Which one do I believe?
This happens on EVERY walk Forward Analysis -
Is there something wrong? Why such a difference?
NOTE: ~~~OSEQUITY is over the same period, i.e. 1/1/2004 - 12/31/2008.
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