[Attachment(s) from Aron Pipa included below]
Hello Herman,
Attached is a Walk Forward snippet that might do what you are looking for:
All symbols are backtested individually in-sample ,
protoflio is created and tested out of sample, components are selected based on some performance metric form individual in-smaple backtests,
this metric is passed as position score.
On 4/11/2016 2:08 AM, psytek@bell.net [amibroker] wrote:
I envisage that, because of the large number of combinations involved, the process can be simplified by pre-screening the individual tickers on the basis of individual performance for the portfolio trading system. The optimizer is extremely fast so it might just be possible to do this with the tools we have.
Hello Herman,
Attached is a Walk Forward snippet that might do what you are looking for:
All symbols are backtested individually in-sample ,
protoflio is created and tested out of sample, components are selected based on some performance metric form individual in-smaple backtests,
this metric is passed as position score.
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Posted by: Aron Pipa <aron@myafl.com>
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This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
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