Hi Jack -- Can you provide more information? Code being used, setup for walk forward, etc. Send me a private message, if you wish. howard at blueowlpress dot com.
Thanks, Howard On Wed, Jul 15, 2009 at 12:24 PM, jacklweinberg <[email protected]>wrote: > > > 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. > > >
