Brain --
I don't know what the problem or the solution is. However, this should
be fairly easy for you to debug.
All you should have to do is repeat the walk forward process, one step
at a time:
1. Optimize for IS1. Then using the resulting parameters, backtest
IS1, and record the trades.
2. Using same parameters, backtest OOS1, and record the trades.
3. Compare with your WF results. You should have enough information
now to find the problem.
4. If after 3 above, you still can't figure it out, then optimize OOS1
and IS2, which should produce identical results. If not, why not?
The secret to debugging is "divide and conquer", just "one step at a time".
-- Keith
brianw468 wrote:
Oops,
This message became a mess as Yahoo apparently removed most of the
spaces, destroying the layout..
Results in the format (Sample, Profit, No. of Trades) are:
(IS1,533,1) (OOS1,1126,2) (IS2,474,1) (OOS2,-537,2) (IS3,43,1)
(OOS3,784,2).
I hope this comes out a bit clearer!
Brian
--- In [email protected] <mailto:amibroker%40yahoogroups.com>,
"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
>
