Hello,
Either sizing or adding offset is required if you want
CONTINUOUS equity curve, otherwise at the end of one part of WF you
would
have a jump back to initial equity. Choosing the model depends
on using compounding or not.
Most users were interested in using compounding , hence this
method is implemented. If you want offseting as an option use Feedback
Center
to fill the suggestion.
Best regards,
Tomasz
Janeczko
amibroker.com
----- Original Message -----
Sent: Wednesday, July 22, 2009 9:41
PM
Subject: [amibroker] Re: Walk Forward
Result Not Accurate?
I
am new to AB but very familiar with walk forward analysis. AB should have an
option to show the OSEQ curve without applying a sizing method
so that the walk forward (which is usually done without sizing) net profit
from each piece when added together will equal the OSEQ curve. It should also
have the option of applying various sizing methods to the OSEQ set of trades.
Do these options exist in AB?
Thanks
--- In
amibroker@xxxxxxxxxxxxxxx, "jacklweinberg" <jacklweinberg@xxx>
wrote:
>
> As I discussed privately with Thomas Ludwig, the key
point is that the Walk Forward results that are shown in the spreadsheet at
the end of the walk forward analysis, do NOT agree with the ~~~OSEQUITY
ticker.
>
> The reason is because the ~~~OSEQUITY ticker is
"stitched" together from the out of sample equity tickers to be a continuous
vector, as is explained in the AmiBroker documentation. That is compounding,
and other factors are included in the ~~~OSEQUITY ticker.
>
>
HOWEVER, this implies that summary statistics based on the ~~~OSEQUITY ticker
may or may not represent reality.
> For example, I have been using the
summary stats (e.g. K-Ratio, Max Drawdown, etc.) that came from the
~~~OSEQUITY curve to compare the walk forward results of systems.
>
> I suppose that comparing systems this way is still reasonable.
However the absolute values of the summary stats are somewhat in
question.
>
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