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Thomas,
Thanks for the link. The poster seems to echo many of the posts on this board that longer tests are better, but others like Howard seem to espouse shorter testing periods with forward tests on OOS data. I really wonder how effective it is to walk-forward with IS data. Perhaps Fred, Chuck, and the like will have some comment.
One glaring omission by the poster was if a sensitivity analysis was performed on the 5 year optimization. If not, and his params were on a "pencil-point" peak, then even my 10-year old cousin could tell you that the system would underperfom when walked-forward. He may have done it, but didn't metion it. So, if you access to that board, maybe you could pipe in a question, and let us know.
Either way, it seems more academic discussion than anything. Neither method guarantees the wheels won't fall off the wagon. So, you've got to have a circuit-breaker to tell you when the system is broken or severely limping at least.
FWIW,
GaryThomas Chan <tchan@xxxxxxxxxx> wrote:
http://www.turtletradingsoftware.com/forum/viewtopic.php?t=634
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