I believe that the advised approach is to alter your arrays to be state arrays rather than signal arrays.
e.g. Buy = Flip(Buy, Sell); Your position will still be closed in the previous OOS, but it will immediately be reopened in the current OOS if the condition still applies. Mike --- In [email protected], "dloyer123" <[EMAIL PROTECTED]> wrote: > > Is there a way to keep trades open at the end of the out of sample > walkforward step, rather than "mark to market" at the end of the step? > > The problem is that closing trades at the end of each step does not > model trades that last longer than the walkforward step size. > > I reduced the walkforward step size to 1 day, but this has the implied > effect of closing each trade at the end of the day in the out of sample > data. > > What I really want is to confine trade entries to the step window, but > let the trade end natrually in computing the out of sample performance, > as if I updated the entry parameters each step. >
