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I've noticed this effect also, and never quite figured out why the equity curve was different than the raw numbers for a WF run.
I've always gone with the lowest number, to err on the side of conservatisim. But it would be nice to know why the difference occurs.
--- In amibroker@xxxxxxxxxxxxxxx, Howard B <howardbandy@xxx> wrote:
>
> 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@xxx>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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