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WF testing seems like a logical step to take in
creating a trading system. While I am not suggesting that we don't do it, I'd
like to clear my understanding.
It seems to me that we are looking to create a
system with parameters that are valid "for all time". If a test is succesful in
OOS period, then we can assume that we have found something that remains
applicable for the future - at least in this one instance.
Given that the markets change all the time, the
obvious conclusion for me is that we need indicators that are adaptive..
and that any that do not adapt will simply not work in OOS.
The issue of providing feedback from equity curve
seems valid and it can provide a warning about system starting to not perform as
expected ... so regardless of type of indicators used, this kind of feedback is
good!.
The point I am making is that there has
been very little said about adaptive indicators ...
maybe that is the holy grail ... and therefore
untennable ...
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