What do you mean with "I don't have many buyings and sellings"? If you have less than 30 trades in an IS period, IMHO, you are using a too short period due to not statistical robustness --> WFA is misleading, try a longer IS period
Bisto --- In [email protected], "Gonzaga" <gonzag...@...> wrote: > > 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" <dloyer123@> 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! > > >
