I am new to AB but very familiar with walk forward analysis. AB should have an option to show the OSEQ curve without applying a sizing method so that the walk forward (which is usually done without sizing) net profit from each piece when added together will equal the OSEQ curve. It should also have the option of applying various sizing methods to the OSEQ set of trades. Do these options exist in AB?
Thanks --- In [email protected], "jacklweinberg" <jacklweinb...@...> wrote: > > As I discussed privately with Thomas Ludwig, the key point is that the Walk Forward results that are shown in the spreadsheet at the end of the walk forward analysis, do NOT agree with the ~~~OSEQUITY ticker. > > The reason is because the ~~~OSEQUITY ticker is "stitched" together from the out of sample equity tickers to be a continuous vector, as is explained in the AmiBroker documentation. That is compounding, and other factors are included in the ~~~OSEQUITY ticker. > > HOWEVER, this implies that summary statistics based on the ~~~OSEQUITY ticker may or may not represent reality. > For example, I have been using the summary stats (e.g. K-Ratio, Max Drawdown, etc.) that came from the ~~~OSEQUITY curve to compare the walk forward results of systems. > > I suppose that comparing systems this way is still reasonable. However the absolute values of the summary stats are somewhat in question. >
