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Thanks for the answer.
What I really want is to have the same report of a single backtest, but applied to the OOS equity. So, I could see the biggest draw down, the sharpe index, Win loss ratio, and so on.
But I also study a graph very clear for me: the monthly profit distribution, made with an AFL code that can be downloaded from Amibroker's web page.. It's important for me to see that there aren't many loss months..
So I have tried a trick to get both things, although I don't nkow if it is a stupidity..
I run the Walk Forward test. After several hours, it finsh, and then I graph the OOS equity.
When the ~~~OSEQUITY is in the window, I enter in the quote editor, where are the exact trades of the OS equity. I copy them, paste in Excel, repair the bad lines, and erase or modify the low, high values that I don't need.
After that, I export the data to a CSV file.
Then in Amibroker, I import the data into a new ticker, called OOSEQUITY.
Then, I program a system that just buy in the open of a day, and sell in the open of next day. I put the commissions to 0.
Of course, it buy all the signals, and obtain the same results of the OOS equity. But, I can
now launch the single backtest and see the report, and graph the monthly profits..
The problem is... I get many errors in this process!
HAs anybody try this?
Is a silly thing??
--- In amibroker@xxxxxxxxxxxxxxx, Howard B <howardbandy@xxx> wrote:
>
> 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@xxx> wrote:
>
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%40yahoogroups.com>, "Gonzaga"
> > <gonzagags@> 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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