Click here to Login





                                                   Equity Curve and Trades list for out-of-sample Walk Forward test

  0

0
Kiran
2019-05-08 21:26:47


I ran the Optimizer->Walk Forward Testing with 48 out-of-sample contiguous monthly periods (spanning 4 years).
How do i generate an Equity Curve and Trades list for the out-of-sample trades?

thanks
Kiran



QuantShare
2019-05-09 10:09:24

  0

In the simulation report, at the end of the table at the top, you can see the OOS simulation. Double click on the "Report" button in the same row to see details about this simulation.


Kiran
2019-05-09 20:46:03

  0

Sorry, i don't see a "Report" button in the Walk Forward Testing Report. It only shows a table like this - https://drive.google.com/file/d/1kwvIFQ0siX9DI6pFF1TvBXUenB0tjHsD/view?usp=sharing

Are you referring to some other report? The WF Testing doesn't return a simulation report that's usable, as it's simulating only the last period and last parameter in the run.

Please advise how to generate the out-of-sample report in Walk Forward run.



QuantShare
2019-05-10 08:51:20

  0

Not in the walk forward testing report but rather in the simulation report where you can find a table for different is and oss backtests.
However this generates oss report by period, no a full report. There is no way to do that currently.



No more messages
0




Reply:

No html code. URLs turn into links automatically.

Type in the trading objects you want to include: - Add Objects
To add a trading object in your message, type in the object name, select it and then click on "Add Objects"










QuantShare

Trading Items
Market cap, ROE, ROA and Forward PE for U.S. Stocks - Fundamental...
Open Interest Data for Equity, Index and Futures Securities
Strategy Indicator - Percent winning trades for a trading rule
Trading the Equity Curve
Strategy Optimization on Random in-sample and out-of-sample Perio...

How-to Lessons
How to download EOD quotes for active and valid stocks only
How to import trades into a portfolio
How to associate an index with a list of stocks
How to get fundamental data for U.S. Stocks
How to import your own list of stocks/symbols

Related Forum Threads
Optimize for each symbol and walk-forward test on list
Custom Fitness Functions for Walk Forward Testing
In-Sample and Out-Of-Sample Dates for Optimization
In-Sample return for Walk Forward Analysis?
Import equity curve and backtest equity curve trading strategies

Blog Posts
Optimizing the Strategy Equity Curve
Trading the Strategy Equity Curve
How to get buy and sell orders for a portfolio based on a trading...
How to Scan for Parallel Resistance and Support Lines
Download historical EOD data for the stock, futures, ETF and Fore...









QuantShare
Product
QuantShare
Features
Create an account
Affiliate Program
Support
Contact Us
Trading Forum
How-to Lessons
Manual
Company
About Us
Privacy
Terms of Use

Copyright © 2024 QuantShare.com
Social Media
Follow us on Facebook
Twitter Follow us on Twitter
Google+
Follow us on Google+
RSS Trading Items



Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.