[amibroker] Walk forward testing

["Ron" <rondwaa@xxxxxxxxx>]

Hi all, 

I'm a new user and think the AmiBroker product is great. I'm trying some basic strategies to get the hang of it and I've come across an issue with the walk forward testing I'm not sure how to get around. 

I've coded a strategy which is basically a moving average cross-over system on one ticker (SP500) with several optimization variables. I really don't expect this system to be a winner but I'm using it as an example to explore AmiBroker's capabilities.

I'm testing the system with the walk forward functionality with various IS and OOS periods. My system trades about 10 times a year. To get a true picture of how the system would trade in real life I'd like to be able to carry over the open positions from an OOS period to the next, rather than closing the positions at the end of the OOS and reopening them at the first signal in the next OOS.

For example my walk forward is 7yr IS and 1yr OOS. In 1995 OOS I noticed the system didn't make one trade and looked into it. It turns out the SP500 when straight up that year and my system signaled a buy on 12/28/94 (previous OOS) and a sell on 1/16/96 (next OOS). In this case my walk forward report shows no profit (or trades) for 1995 when in reality if I was trading this strategy I would be long the entire year which would have been quite profitable. 

My thoughts I have to get around this are,

1. Manually do the walk through and keep track of open positions. 
2. Modify the IS and OOS period lengths
3. Use another product for the walk forward testing (like Dakota, others?)
4. At the end of an OSS period mark-to-market any open positions for reporting but pass the positions and equity to the next OOS.

#1 would take forever and defeats the purpose of automated walk forward.
#2 doesn't really fix the problem
#3 I'm just learning AmiBroker and don't want to add another if I don't have to.
#4 I believe this would require a enhancement to AmiBroker.

Any thoughts?

Thanks for your time,

Ron






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