Portfolio optimizer performance report - P&L calculation

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paulc
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Portfolio optimizer performance report - P&L calculation

Postby paulc » 26 Nov 2014

Am I the only one who thinks the walk forward OOS P&L in the portfolio optimiser should be calculated on a mark to market basis not including P&L from trades opened in the in-sample period.

If you want to use the P&L report and WF optimizer to set your input parameters then you cannot possibly open up a trade PRIOR to running the report. Hence the OOS P&L should not include this P&L. It is misleading and will lead to an overstatement of profit (since the in-sample P&L was optimised).

Also for open trades at the end of the OOS period, this P&L should be included since it would have been opened using the optimized variables. Currently open trade P&L is excluded from the OOS P&L.

I've raised this issue with support and on the PM page here. Please vote for issue 1803. Linky:

http://www.multicharts.com/pm/viewissue ... no=MC-1803

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