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Hi Joris, and all --
If the typical time a trade is held, and trading frequency is fairly constant, both of which I recommend, then constant time periods will have similar number of trades.
Some of us carry on a lot of our lives using time to schedule -- how many dollars per year we earn, how many calories per day we eat, how many miles per week we run. So it does make sense to compare trading system performance over equal length time periods -- how many dollars per year the system makes.
The logistics are considerably more complicated to run walk forward testing using number of trades rather than number of bars.
Be careful when evaluating out-of-sample results. If the system is modified based on out-of-sample results, the data used to produce those OOS results is no longer out-of-sample, but is now part of the in-sample data. Subsequent test results, even when the previously OOS data was not explicitly included in the in-sample data mining, no longer give an unbiased estimate of future performance. Rather, the estimate of future performance is overestimated and of risk is underestimated.
Thanks for listening,
Howard
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