I'm tried modifying one of my scripts to run first with Detrend = 0, and then the rest of the runs with Detrend = SHUFFLE. The idea was to first get the profit of the strategy, and then run a robustness test (from Alice4b) in the rest of the runs using input from the first run.
if(Test) {
NumTotalCycles = 11;
if (TotalCycle > 1) {
Detrend = SHUFFLE;
}
}
Alice4b code, modified to use input from first cycle
function evaluate()
{
static int TestProfit = 0;
if (TotalCycle == 1) {
TestProfit = Balance;
} else {
//var TestProfit = 13559;
static int Count = 0;
if(Balance > TestProfit)
Count++;
var Bucket = floor(Balance/250);
Bucket *=3;
plotBar("Profit",Bucket,250*Bucket,1,SUM+BARS+LBL2,RED);
plotBar("TestProfit",3*floor(TestProfit/250)+1,250*floor(TestProfit/250),1,BARS+LBL2,BLUE);
if(TotalCycle == NumTotalCycles) {
var Probability = (100.*Count)/NumTotalCycles;
printf("n-------------------------------------------");
printf("nBase system profit was: %f",TestProfit);
printf("nReality Check: %.1f%% Random Probability",Probability);
if(Probability <= 1)
printf("nSystem result is significant");
else if(Probability <= 5)
printf("nSystem result is possibly significant");
else
printf("nSystem result is not statistically significant");
printf("n-------------------------------------------");
}
}
}
When running this I get error 030 after the first run.
Is it not possible to achieve what I'm trying to do?
What should I do instead?
