Hi Tim --
Each walk forward step is a pair -- the first part is a search for the best parameter values over the in-sample period, the second part uses those best values to generate trades for the out-of-sample period. There is no single set of parameters for all the combines in-sample or out-of-sample periods. But there is a combined report for all of the out-of-sample periods. You find it by clicking the Analysis tab, pulling down the menu for the Reports (the little spreadsheet icon), clicking Report Explorer. All reports for all test runs will be listed. The most recent run is at the bottom. The Type column tells whether the report is for an individual run (I), or a walk forward run (P). Click on a line with a P and it will show the statistics, equity curve chart, trades, etc for the combined out-of-sample periods.
On Mon, Feb 15, 2016 at 3:22 PM, tim_testpat@yahoo.co.uk [amibroker] <amibroker@yahoogroups.com> wrote:
Hi - I am using the walk forward optimisation, but am confused as to whether the results columns show the best optimised parameters for the whole sample period... or whether they show the most recent in sample optimised parameters?
If they are the best parameters for the whole period, how is this calculated? - because each in sample period may have different optimal parameters that perform best in each out of sample period.
Thanks.
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Posted by: Howard B <howardbandy@gmail.com>
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