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Hi Gonzaga --
When you run a walk forward test, you are generating a series of test runs. No two are likely to be the same. It is possible, but tricky, to gather together all of the trades for either the in-sample runs or the out-of-sample runs, provided there is no overlap between the periods. You might fill in a feature request and send it to AmiBroker to have this feature included in a future version. I believe it is already on the todo list.
In the meantime -- Insert the IS_OOS_Equity into a pane in the window that has the chart of the issue being tested. As the run is in progress, and after it is complete, you will see two equity curves -- the higher one (red) is the in-sample equity (which has no value in estimating future performance) and the lower one (green) is the out-of-sample equity which is your best estimate of future performance. If you see a fairly smooth green line, sloping upward, the system is worth more study. You can read the parameters that were used to generate each of the OOS runs from the Walk Foward tab -- over at the right hand side.
Perhaps another nudge to Tomasz will bring this report out in a future release.
Thanks,
Howard
On Mon, Sep 28, 2009 at 9:07 AM, Gonzaga <gonzagags@xxxxxxxx> wrote:
--- In amibroker@xxxxxxxxxxxxxxx, "Gonzaga" <gonzagags@xxx> wrote:
>
> Hi
> I do a walk forward back-test, and obtain an OOS equity. I export the OOS equity ticker to Excel, so I can make my own calculations, but..
> Is there any way to obtain the statistic report applied to the OOS equity?
>
I think I read once that I could obtain a performance report from the OOS study, but I think I am wrong
It's a pity because without the report, the OOS study is nearly useless
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