Thanks for the answer. What I really want is to have the same report of a single backtest, but applied to the OOS equity. So, I could see the biggest draw down, the sharpe index, Win loss ratio, and so on. But I also study a graph very clear for me: the monthly profit distribution, made with an AFL code that can be downloaded from Amibroker's web page.. It's important for me to see that there aren't many loss months..
So I have tried a trick to get both things, although I don't nkow if it is a stupidity.. I run the Walk Forward test. After several hours, it finsh, and then I graph the OOS equity. When the ~~~OSEQUITY is in the window, I enter in the quote editor, where are the exact trades of the OS equity. I copy them, paste in Excel, repair the bad lines, and erase or modify the low, high values that I don't need. After that, I export the data to a CSV file. Then in Amibroker, I import the data into a new ticker, called OOSEQUITY. Then, I program a system that just buy in the open of a day, and sell in the open of next day. I put the commissions to 0. Of course, it buy all the signals, and obtain the same results of the OOS equity. But, I can now launch the single backtest and see the report, and graph the monthly profits.. The problem is... I get many errors in this process! HAs anybody try this? Is a silly thing?? --- In [email protected], Howard B <howardba...@...> wrote: > > Hi Gonzaga -- > > When you run a walk forward test, you are generating a series of test runs. > No two are likely to be the same. It is possible, but tricky, to gather > together all of the trades for either the in-sample runs or the > out-of-sample runs, provided there is no overlap between the periods. You > might fill in a feature request and send it to AmiBroker to have this > feature included in a future version. I believe it is already on the todo > list. > > In the meantime -- Insert the IS_OOS_Equity into a pane in the window that > has the chart of the issue being tested. As the run is in progress, and > after it is complete, you will see two equity curves -- the higher one (red) > is the in-sample equity (which has no value in estimating future > performance) and the lower one (green) is the out-of-sample equity which is > your best estimate of future performance. If you see a fairly smooth green > line, sloping upward, the system is worth more study. You can read the > parameters that were used to generate each of the OOS runs from the Walk > Foward tab -- over at the right hand side. > > Perhaps another nudge to Tomasz will bring this report out in a future > release. > > Thanks, > Howard > > > On Mon, Sep 28, 2009 at 9:07 AM, Gonzaga <gonzag...@...> wrote: > > > > > > > --- In [email protected] <amibroker%40yahoogroups.com>, "Gonzaga" > > <gonzagags@> wrote: > > > > > > Hi > > > I do a walk forward back-test, and obtain an OOS equity. I export the OOS > > equity ticker to Excel, so I can make my own calculations, but.. > > > Is there any way to obtain the statistic report applied to the OOS > > equity? > > > > > I think I read once that I could obtain a performance report from the OOS > > study, but I think I am wrong > > It's a pity because without the report, the OOS study is nearly useless > > > > > > >
