Hi,
Does anyone know a way to generate a full backtest report specifically for the
ENTIRE out-of-sample concatenated backtest?
I understand and know how to access the composite tickers such as ~~~ISEQUITY
and ~~~OSEQUITY, but I don't see a way I could then generate ONE full backtest
report for entire the concatenated out-of-sample pieces.
The only way I can think it might be done is to manually write code at the top
of my AFL using dates and variable values from the walk forward report like:
dn = DateNum();
for(i=0;i<barcount;i++)
{
if(dn[i]>=1030101 & dn[i]<1030701)
{
//assign optimized inputs to values chosen for this OS segment
optedVar1[i] = 5;
optedVar2[i] = 10;
}
if(dn[i]>=1030701 & dn[i]<1040101)
{
//assign optimized inputs to values chosen for this OS segment
optedVar1[i] = 7;
optedVar2[i] = 13;
}
if(dn[i]>=1040101 & dn[i]<1040701)
{
//assign optimized inputs to values chosen for this OS segment
optedVar1[i] = 11;
optedVar2[i] = 12;
}
//ETC. rolling forward through each out-of-sample segment
}
Anyone have a better way to do this?
Thank you- I appreciate your time reading this.
Paul