--- In [email protected], "Tomasz Janeczko" <gro...@...> wrote: > > Hello, > > Either sizing or adding offset is required if you want CONTINUOUS equity > curve, otherwise at the end of one part of WF you would > have a jump back to initial equity. Choosing the model depends on using > compounding or not. > Most users were interested in using compounding , hence this method is > implemented. If you want offseting as an option use Feedback Center > to fill the suggestion. > > Best regards, > Tomasz Janeczko > amibroker.com > ----- Original Message ----- > From: Leading Edge Systems > To: [email protected] > Sent: Wednesday, July 22, 2009 9:41 PM > Subject: [amibroker] Re: Walk Forward Result Not Accurate? > > > > > 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" <jacklweinberg@> 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. > > >
Tomasz, May I suggest that if we had the ability to capture the exact walk forward trades in an easy manner, then this point would become somewhat moot.
