Hi guys, need some help coding a special 3-step walkforward routine. Instead of the normal method of
Walkforward Testing used in Amibroker - https://www.amibroker.com/guide/h_walkforward.html
- optimizing with an optimization target on In Sample (IS) data set, then taking whichever set of parameters that gives the best result for the optimization target, and
- running a backtest with that on Out Of Sample (OOS) data, then repeat repeat repeat (2 step process)
I want to do a 3 step process:
optimizing with an optimization target on In Sample data set
For each backtest performed in step 1, run another backtest on a short OOS data set called the "Paper Trade" period and record those results (but not used as the optimization target). For example, use 2 weeks of data following the In-Sample data as the "Paper trading" period. AFTER the optimization step is completely finished, but BEFORE the OOS backtesting, sort the optimization results by how well they perform in the "Paper Trade" period and
Use best result from step 2 to run a backtest on the subsequent OOS data set (starts after the end of the "Paper Trade" period.
Can anyone figure out a way to do this in Amibroker? Seems like not.
Thank you in advance for any help with this! I've used this feature on a different piece of trading software and it DRAMATICALLY (by a factor of 10 or more) improves the OOS results of walkforward testing. I would love to duplicate this feature in Amibroker as it is far better software on all other counts aside from lacking this feature.
Thank you very much!