Mike, Thanks for your reply.
I wasn't sharp enough to think of custom metric. Yes, it'll do for "worst." > You can chart the OOS and IS equity results to see combined > performance. See Plot statements of following article in knowledge > base: http://www.amibroker.com/kb/ I was thinking of other performance stats like "combined" OOS #trades, Avg Profit/Loss, etc. as in normal performance report. I can import walkforward.html under AmiBroker directory into Excel and calculate myself but.. Sharpe Ratio ? I was hoping all the temporary files were stored somewhere and there was a way to combined them to produce "worst", "2nd best", "100th best," etc OOS results. best regards, DXD --- In [email protected], "Mike" <[EMAIL PROTECTED]> wrote: > > You can chart the OOS and IS equity results to see combined > performance. See Plot statements of following article in knowledge > base: http://www.amibroker.com/kb/ > > As for "worst" results. Just create a backtester custom metric which > is the opposite of the metric of interest (e.g. multiply by -1). Then > set your custom metric as the optimization target of the walk forward > in the walk forward settings tab of the AA window. For example make a > custom metric calculated as KRatio * -1. > > http://www.amibroker.com/guide/a_custommetrics.html > > Mike > > --- In [email protected], "john_dxd_smith" > <john_dxd_smith@> wrote: > > > > > > Several years ago I bought $695 TradeStation add-on to do WFO. > > As far as I know that was the only retail software capable of WFO at > > that time. > > I played around a while and found, in many cases, worst in-sample > > parameters performed better out-of-sample than best in-sample ones. > > I haven't used the software since because it's so cumbersome to set > it > > up to do WFO. > > > > Now that AmiBroker can do WFO seamlessly, I'm trying to replicate > what > > I did years ago. > > > > 1) > > Is OOS combined performance report available anywhere ? > > > > 2) > > How can I produce OOS results from "worst" in-sample parameters ? > > > > best regards, > > DXD > > >
