Hi I recently tested a trading system but got some strange results from the WF test. The WF process used exhaustive optimization. An extract from the results (too large to reproduce in full) is:- Item Profit No. Trades IS1 533 1 OOS1 1126 2
IS2 474 1 OOS2 -537 2 IS3 43 1 OOS 784 2 In two cases the OOS results are better than the preceding IS results. Though a little surprising,this is quite plausible, because the time periods differ. However,the IS2 profit is much poorer than the OOS1 profit, and this is a worry since exhaustive optimization is used, and the time periods are the same. Can anyone offer an explanation? Would it lie in the way profit is handled when a trade is not completed by the end of the selected period? Thanks Brian
