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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
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