Class WalkForwardSlice

Namespace

Balsam.Optimization

Assembly

Balsam.Backtester.dll

Encapsulates a slice of a walk forward optimization test.

[ProtoContract]
public class WalkForwardSlice

Inheritance

object

WalkForwardSlice

Inherited Members

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

Extension Methods

Excel.ExportToExcel(object)

Clipboard.CopyToClipboard(object)

Constructors

WalkForwardSlice(DateTime, DateTime, DateTime, DateTime)

Instantiates a new WalkForwardSlice using the specified dates.

public WalkForwardSlice(DateTime trainStart, DateTime trainEnd, DateTime testStart, DateTime testEnd)

Parameters

trainStart DateTime

trainEnd DateTime

testStart DateTime

testEnd DateTime

Properties

InSampleResults

Gets the in-sample trade stats.

[ProtoMember(5)]
public TradeStats InSampleResults { get; }

Property Value

TradeStats

OutOfSampleResults

Gets the out-of-sample trade stats.

[ProtoMember(6)]
public TradeStats OutOfSampleResults { get; }

Property Value

TradeStats

TestEnd

Gets the out-of-sample end date.

[ProtoMember(4)]
public DateTime TestEnd { get; }

Property Value

DateTime

TestStart

Gets the out-of-sample start date.

[ProtoMember(3)]
public DateTime TestStart { get; }

Property Value

DateTime

TrainEnd

Gets the in-sample end date.

[ProtoMember(2)]
public DateTime TrainEnd { get; }

Property Value

DateTime

TrainStart

Gets the in-sample start date.

[ProtoMember(1)]
public DateTime TrainStart { get; }

Property Value

DateTime

Methods

GetSlices(DateTime, DateTime, int, int, bool, bool)

Gets an enumerable of walk forward slices using the specified parameters.

public static IEnumerable<WalkForwardSlice> GetSlices(DateTime startDate, DateTime endDate, int trainYears, int testYears, bool isAnchored = false, bool snapToYearEnd = false)

Parameters

startDate DateTime

endDate DateTime

trainYears int

testYears int

isAnchored bool

snapToYearEnd bool

When true the first training period end date will be aligned to the closest year end.

Returns

IEnumerable<WalkForwardSlice>

GetSlices(DateTime, DateTime, TimeSpan, TimeSpan, bool)

Gets an enumerable of walk forward slices using the specified parameters.

public static IEnumerable<WalkForwardSlice> GetSlices(DateTime startDate, DateTime endDate, TimeSpan trainWindow, TimeSpan testWindow, bool isAnchored = false)

Parameters

startDate DateTime

endDate DateTime

trainWindow TimeSpan

testWindow TimeSpan

isAnchored bool

Returns

IEnumerable<WalkForwardSlice>

GetSlices(DateTime, DateTime, TimeSpan, TimeSpan, TimeSpan, bool)

Gets an enumerable of walk forward slices using the specified parameters.

public static IEnumerable<WalkForwardSlice> GetSlices(DateTime startDate, DateTime endDate, TimeSpan trainWindow, TimeSpan testWindow, TimeSpan separation, bool isAnchored = false)

Parameters

startDate DateTime

endDate DateTime

trainWindow TimeSpan

testWindow TimeSpan

separation TimeSpan

isAnchored bool

Returns

IEnumerable<WalkForwardSlice>

ToString()

Returns a string representation of this object.

public override string ToString()

Returns

string