TJ,
I just got version 5.10.1 and was testing the WF with a simple ema
cross over system. I was using SPY, long and short, hours, and easy
mode intraday, no stops. start = 1/9/08, end 1/23/08, last =
6/10/08, step 5 trading days, not anchored, target = car/mdd, trade
= close, delay = 0.
It went through the WF test ok. At the end of the test, their was a
spread sheet on the IS and OOS results for each test range.
I did not see a summary of the Overall IS and OOS statics, like Car
and system % MDD. How do I find these stats?
When I plot the IS and OOS equity curves, I see random FLAT lines of
varing length in both curves ( I'm trading Long and short only, with
no sell or cover holding periods). Some of the Flat lines happen
within the IS range. Both equity curves look Wrong! I have tried
several systems, but always get similar equity curves that look
WRONG!
The test code was:
per1 = Optimize("per1",12,10,70,5);
per2 = Optimize("per2",4,1,9,1);
sma = EMA(C,per1); // slow ema
fma = EMA(C,per2); // fast ema
Buy = Cross(fma,sma); Sell = Cross(sma,fma);
Buy = ExRem(Buy,Sell); Sell = ExRem(Sell,Buy);
Short = Sell; Cover = Buy;
If I just backtest with the selected parameters over a IS range with
A Flat line within the IS plot, The equity curve is correct.
This just does not look right.
What am I doing wrong?
Dan
