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Hello,
when performing a walk-forward optimization it is rather easy to
calculate some simple metrics like CAR or MaxDD for the concatenated in-
sample and out-of-sample equity curves. However, trade-related metrics
as in the Backtest Report are missing.
On the other hand, this information *is* available for every IS and OOS
period in the WalkForward.html file in the Amibroker directory. Does
anybody know how to extract that programmatically?
Or, TJ, if you're reading this: Wouldn't this be a wonderful opportunity
for a new KB article? Sort of a pre-Christmas gift? :-)
Greetings,
Thomas
P.S.: Post-Christmas would be okay, too ... :-)
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