Yes, I believe that you should increase the IS period as general rule is not true "the shortest the best" trying to catch every market change because it's possible that a too short IS period produces a too low number of trades with no statistical robustness --> you will find parameters that are more likely candidated to fail in OS
try a longer IS period and let's see what will happen I read an interesting book on this issue: "The evaluation and optimization of trading strategies" by Pardo. Maybe he repeated too much times the same concepts nevertheless I liked it if anyone could suggest a better book about this issue it would be very appreciated Bisto --- In [email protected], "Gonzaga" <gonzag...@...> wrote: > > 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" <bistoman73@> 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! > > > > > > > > > >
