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

Reply via email to