Hello, hoping someone can point out a good method for incrementing
dates. I am currently trying to build a basic Walk-Forward engine that
does an Optimization on In-Sample (IS) data using one formula, followed
by an Optimization on Out-Of-Sample (OOS) data using a second formula.
This is different than AB's built-in WF engine, which performs an
Optimization, followed by a Backtest using only one formula.
Anyway, I am currently stuck right at the beginning, trying to figure
out a sensible way to increment dates. This is what I have so far:
// datenum format: 10000 * (year - 1900) + 100 * month + day,
// so 2001-12-31 becomes 1011231 and 1995-12-31 becomes 951231
BegISdate = 1031201;
EndISdate = 1090201;
StepIS = 100;
BegOOSdate = 1050101;
EndOOSdate = 1090301;
StepOOS = 100;
Formula1 = "F:\\formula1.afl";
Formula2 = "F:\\formula2.afl";
Database = "F:\\AB Databases\\MyDB";
Settings = "F:\\My Settings.ABS";
for (FromISdateNum = BegISDate; FromISdateNum <= EndISdate;
FromISdateNum = FromISdateNum + StepIS)
{
AB = CreateObject("Broker.Application");
// Etc. .........
Now the above won't exactly work because simply adding 100 to a datenum
will not allow the datenum to correctly roll over from December to
January. For example, incrementing 1031201 by 100 yields 1031301 instead
of 1040101.
I know I can first convert the datenum to a string, then build a parser
that splits the datenum apart and analyzes the last four digits,
converting 1301 to 0101, then reconstitute the string and reconvert to a
datenum again. But that all feels rather convoluted.
Is there an easier way to increment dates in AFL? I've searched the help
manual and can't seem to find anything. What if I first converted to
DateTime format? Is there an easy way to step through that format month
by month?
Any pointers much appreciated.
And when I complete the WF Opt-Opt engine, I will be happy to post it
here, in case anyone else has a need for it.
Thanks!
