I would like to combine the results of a Walk Forward Optimization into a separate strategy for further analysis. To do this I need to break the out of sample test periods into time segments and use the inputs that were optimized for that period. I did not see where I could do this using the Strategy Builder. Basically I'm trying to create a code that assigns input values if the on bar update is between dates A and B and then assign different values if the on bar update is between dates, C and D, and so on. I was looking for a date function but could not find one. Would appreciate if you could point me in the right direction.
Thanks,
Ben
Comment