Hi! Is it possible to optimize a system (for e.g. best net performance %) with SPSO but then use the highest Ulcer Performance Index or CAR/MDD and use then this parameters for the out of sample test for the next period in the Walk Forward Test of Amibroker? I know I could do this in separate steps, but I would like to automize that. Or does someone know an other solution for this?
Many thanks and kind regards, dubi
