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Yes, I believe that you should increase the IS period
as general rule is not true "the shortest the best" trying to catch every market change because it's possible that a too short IS period produces a too low number of trades with no statistical robustness --> you will find parameters that are more likely candidated to fail in OS
try a longer IS period and let's see what will happen
I read an interesting book on this issue: "The evaluation and optimization of trading strategies" by Pardo. Maybe he repeated too much times the same concepts nevertheless I liked it
if anyone could suggest a better book about this issue it would be very appreciated
Bisto
--- In amibroker@xxxxxxxxxxxxxxx, "Gonzaga" <gonzagags@xxx> wrote:
>
> Oh, sorry, I am lost in translation ... ;-)
> Yes I meant trades of my IS period.
> I've got about 70 trades in my IS period, three months.
> BUT, I buy stocks in a multiposition way.This means, that my hole capital divides among several stocks purchased simultaneously.
> So, in my statistics, I use to average my trades. When I use maxopenpositions=7, I use to average my results every 7 trades.
> Considering that, my trades in three months are not 70, but less ( not exactly 70/7, but less than 70)
>
> If I use maxopenposition=1, which is, invest all my capital every trade, in three months I would have about 29 trades.
> So I suppose I have to increase the IS period.. isn`t it?
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Bisto" <bistoman73@> wrote:
> >
> > What do you mean with "I don't have many buyings and sellings"?
> >
> > If you have less than 30 trades in an IS period, IMHO, you are using a too short period due to not statistical robustness --> WFA is misleading, try a longer IS period
> >
> > Bisto
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Gonzaga" <gonzagags@> wrote:
> > >
> > > Thanks for the answers
> > > To Keith McCombs :
> > >
> > > I use 3 months IS test and 1 month step, this is, 1 month OS test. My system is an end-of day-system, so I don't have many buyings and sellings..
> > > Perhaps I should make bigger the IS period?
> > >
> > > anyway, my parameter behaves well in any period. Of course it is an optimized variable, but it doesn't fail in ten years, in none of those ten years, over 500 stocks.. a very long period..
> > > So, couldn't it be better, on the long run, than the parameters optimized with the WF study?
> > > (In fact, I am using it now, the optimized variable)
> > > That's my real question..
> > >
> > > To dloyer123:
> > > I haven't understood the meaning of the Walk Forward Efficency, and seems interesting.
> > > can you explain it better, please..?
> > >
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "dloyer123" <dloyer123@> wrote:
> > > >
> > > > I have had similar experiences. I like to use WFT to estimate what Pardo call's his "Walk Forward Efficency", or the ratio of the out of sample WF profits to just optimizing over the entire time period.
> > > >
> > > > A good system should have as high a WFE as posible. Systems with a poor WFE tend to do poorly in live trading.
> > > >
> > > > If you have a parm set that works well over a long period of live trading, then you are doing well!
> > > >
> > >
> >
>
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