Oh, sorry, I am lost in translation ... ;-) Yes I meant trades of my IS period. I've got about 70 trades in my IS period, three months. BUT, I buy stocks in a multiposition way.This means, that my hole capital divides among several stocks purchased simultaneously. So, in my statistics, I use to average my trades. When I use maxopenpositions=7, I use to average my results every 7 trades. Considering that, my trades in three months are not 70, but less ( not exactly 70/7, but less than 70)
If I use maxopenposition=1, which is, invest all my capital every trade, in three months I would have about 29 trades. So I suppose I have to increase the IS period.. isn`t it? --- In [email protected], "Bisto" <bistoma...@...> wrote: > > 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" <gonzagags@> 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! > > > > > >
