Hi, If your IS time frame is not the same as your OOS time frame (e.g 2 year IS with rolling 6 month OOS) then the values used in the preceding OOS can end up more profitable than the optimized values over the following IS since the IS period is optimized over a different (e.g. longer) data set.
P.S. I would not trust any walk forward that was only producing 1 or 2 trades IS. While no amount of trades IS can completely predict what will happen OOS, all of your performance calculations (i.e. fitness function) are based on IS statistics, and 1 or 2 trades are simply too few data points to calculate any kind of meaningful statistic. I would suggest extending your IS time frame to capture more trades such that the statistics have a chance to level out. 30 is the number usually suggested to get a normally distributed sample. Your next OOS period would then be less likely to be based on an IS fluke. Mike --- In [email protected], "brianw468" <wil...@...> wrote: > > 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 >
