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