[amibroker] Re: Walk Forward Result Not Accurate?

["mkecera" <mkecera@xxxxxxxxx>]

Hello all,

I apply this formula to OOSEQ. It helps me to better judge various systems.

PercChange=(C-Ref(C,-1))/Ref(C,-1)*100;
NormEquityPercent=Cum(PercChange);

Plot( NormEquityPercent, _DEFAULT_NAME(), ParamColor( "ColorHigh", colorCycle ), ParamStyle("Style")  );
Plot( 0, _DEFAULT_NAME(), ParamColor( "o", colorCycle ), ParamStyle("Style")  );

BR,

Michal

--- In amibroker@xxxxxxxxxxxxxxx, "Leading Edge Systems" <rdcpa@xxx> wrote:
>
> 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@>
> 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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