Hello, when performing a walk-forward optimization it is rather easy to calculate some simple metrics like CAR or MaxDD for the concatenated in- sample and out-of-sample equity curves. However, trade-related metrics as in the Backtest Report are missing.
On the other hand, this information *is* available for every IS and OOS period in the WalkForward.html file in the Amibroker directory. Does anybody know how to extract that programmatically? Or, TJ, if you're reading this: Wouldn't this be a wonderful opportunity for a new KB article? Sort of a pre-Christmas gift? :-) Greetings, Thomas P.S.: Post-Christmas would be okay, too ... :-)
