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

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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

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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

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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

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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.



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