Thanks for the answers To Keith McCombs : I use 3 months IS test and 1 month step, this is, 1 month OS test. My system is an end-of day-system, so I don't have many buyings and sellings.. Perhaps I should make bigger the IS period?
anyway, my parameter behaves well in any period. Of course it is an optimized variable, but it doesn't fail in ten years, in none of those ten years, over 500 stocks.. a very long period.. So, couldn't it be better, on the long run, than the parameters optimized with the WF study? (In fact, I am using it now, the optimized variable) That's my real question.. To dloyer123: I haven't understood the meaning of the Walk Forward Efficency, and seems interesting. can you explain it better, please..? --- In [email protected], "dloyer123" <dloyer...@...> wrote: > > I have had similar experiences. I like to use WFT to estimate what Pardo > call's his "Walk Forward Efficency", or the ratio of the out of sample WF > profits to just optimizing over the entire time period. > > A good system should have as high a WFE as posible. Systems with a poor WFE > tend to do poorly in live trading. > > If you have a parm set that works well over a long period of live trading, > then you are doing well! >
