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--- In amibroker@xxxxxxxxxxxxxxx, "zozuzoza" <zozuka@xxx> wrote:
>
> Hi,
>
> I would like to open this topic to discuss and share WFO experience. There are some interesting issues below to start with. Please let us know if you come across with these and know the answer to them.
>
> - Dakota states that they step 1 bar ahead, so each bar is OOS result. There is one question here. If the parameters change each bar how does it treat the open trades? How does Amibroker treat open trades at the beginning/end of the OOS period?
> - Wathcing the videos in Biocomp web page, the WFO improves as the time passes. You can see that the performance is poor in the beginning but it improves a lot in terms of equity straightness later. How does it improve itself as the time goes on?
> - What is your experience what is the best time period of the IS and OOS data?
> - How did you solve the problem that there are too few trades used in IS optimisation because the optimisation engine pushes towards the parameters as they give the best CAR/MDD for example. Is it somehow possible to tell the optimiser to keep at least 50 trades in the IS period otherwise the performance results are invalid?
>
> Cheers,
> Zozu
>
I use an in sample period of 1/1/2000 - 12/31/2003, and of course, rolling every year after that.
Since I use the components of an index, I am especially mindful of survivorship bias (it really does exist).
Too few trades in the iis period is not a problem for me - I make sure that I have at least 30-50 trades each year in the in sample period.
Deciding on the objective function to optimize is a real issue. I have used several metrics, including a combined one. I am still convinced that there is no "best", but I tend to use kratio, and check the other key metrics.
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