TITLE: Out of sample made easy

EXPLAINER: Using the below macro, we can automate the out-of-sample system testing process.

Sub SmartOpmitizeWithExcel(PercentOut)
    Dim FirstDate As Integer
    Dim LastDate As Integer
    Dim PeriodLenght As Integer
    Dim StartRunDate As Integer
    Dim EndRunDate   As Integer
    Dim SessionName As String
    Dim runcount As Integer
    Dim Counter
    Dim Results
    Dim BestResults
    Dim BestKey 
    Dim ParamKey 
    Dim NP, DD
    Dim parmratings As Array
   ' Start a copy of Excel and add ResultTable to the worksheet
      XLStart(True)
    XLAddWorkSheet("ResultsTable")
    ' Load the current session into the DLL
    GetActiveSession()
    ' Get the name Of the current active session For later use
    SessionName = TrStGetSessionName()
     ' This Function gets the list Of all available dates For the session
    TrstGetCalculatedDates(FirstDate,LastDate)
    'Set Date For in sample period  
    PeriodLenght=LastDate-FirstDate
    StartRunDate=FirstDate
    EndRunDate=FirstDate+CInt(((100-PercentOut)/100)*PeriodLenght)
    TrStSetSessionRunLongDates(StartRunDate,EndRunDate,False)
   ' Copy the session back To the live one And optimize
     SetActiveSession()
    TrStOptimizeSession()
    ' Use the current session database data
    UseSession(SessionName)
    ' Find all Parameter keys a given session has been run with
    FindAllParameterKeysForSession()
    runcount=GetParameterKeyCount()
    ReDim(parmratings,runcount,2)
    BestResults=-99999999999
    ' For each run get the stats And see what is best
  For Counter=0 To runcount - 1
        ParamKey = GetParmStringForSession(Counter)
        FindSummResultsCombined(ParamKey)
        NP = GetSummResultsCombined("NetProfit")
        DD = GetSummResultsCombined("MAXDRAWDOWN")
         if Abs(DD)=0 Then 
        Results=-99999999999
        Else
        Results=  NP/Abs(DD)
        End If
       parmratings[Counter,0]=ParamKey
       parmratings[Counter,1]=Results
         If Results>BestResults Then
            BestResults=Results
            BestKey=ParamKey
        End If
    Next
    'OK now  lets run out Of sample
  TrStSetAllSystemRunArguments(BestKey) 
 TrStSetSessionRunLongDates(EndRunDate,LastDate,True)
 ' Run the session on the out Of sample period
SetActiveSession()
TrStRunSession()
XLSetCellValue("ResultsTable",1,1,"ParmString")
XLSetCellValue("ResultsTable",1,2,"Score")
XLSetRangeValues("ResultsTable",2,1,runcount,2, parmratings)
XLAutoFitColumn("ResultsTable","A")

MsgBox("Check Excel, when finish press ok And excel will Close")
XLClose()
End Sub







FILENAME: Code2.txt