I seem to have a major discrepancy in the AB walk forward analysis. 1. The (partial) results of a walk forwrd analysis: Mode Begin End No. Net Profit OOS 1/1/2004 12/31/2004 1 15127.33 OOS 1/1/2005 12/31/2005 1 20248.16 OOS 1/1/2006 12/31/2006 1 33777.22 OOS 1/1/2007 12/31/2007 1 10681.52 OOS 1/1/2008 12/31/2008 1 18440.27
This shows that the out of sample Net Profit is: $98274.5 (adding up the Net Profit column for the OOS mode). However, in the ~~~OSEQUITY indicator, the total net profit is $118594 a difference of $20,320! very significant! Which one do I believe? This happens on EVERY walk Forward Analysis - Is there something wrong? Why such a difference? NOTE: ~~~OSEQUITY is over the same period, i.e. 1/1/2004 - 12/31/2008.
