Status changed from New to Waiting for information
The first training part is quite big and if we'll not use it then the net profit of the strategy after walk-forward will be much smaller than original strategy.
Every platform I know displays it the same way also in the equity chart - te first training part is there, and then the run parts of the reoptimizations.
The purpose of a walk forward is to analyze how we do AFTER the optimization, on a blind sample. When you include the optimization you're defeating the purpose. I will ref "Building Winning Algorithmic Trading Systems" by Kevin Davey (award winning full time trader, with over 25 years trading experience). You can also check out how this software keeps in sample and oos seperate like it should: see WFP works here: https://www.tradelikeamachine.com/backtesting-software-walk-forward-pro/hub/walk-forward-pro-videos
I'd like to be able to compare PF, ret/dd etc of one out of sample walk forward to another. I suppose leaving it in the chart doesn't hurt that much but I would prefer to see the out of sample portion begin at the pl 0 line. Please consider seeing how many people vote and maybe giving us some options. Maybe, at least a new stat such as ret/DD ratio (walk-forward optimization, WF result - blind data only.) and an option to cut out in sample data from the chart.
It's very annoying to see a stat like profit factor show 1.35 for the walk forward optimization yet none of the walk forward out of sample segments were profitable. I just want to know about the oos parts.
All the tests this software can do are insanely awesome. There's just this one little thing that could make it slightly better. =)
Subject changed from [Build 113] Stop including the in-sample portion of walk forwards in... to Please stop including an in-sample portion of the walk forward tests in various WF analysis, stats and charts... OOS only please! (Or some options to analyze isolated OOS)
Subject changed from Please stop including an in-sample portion of the walk forward tests in various WF analysis, stats and charts... OOS only please! (Or some options to analyze isolated OOS) to [Build 113] Stop including the in-sample portion of walk forwards in...
If you cut the in Sample period you'll see that the optimized out of sample equity is the same or only very little different from the original equity, because it seems the Walk Forward process doesn't work.
I explain better the problem in this task: https://roadmap.strategyquant.com/tasks/sq4_3274
Michele
This software is absolutely awesome, dont get me wrong, but you have to know what you are doing with regards to systems development and statistics. If you blindly follow all the default settings and filters without questioning each and everyone of them, you are going to be left with some false positives at the end of the robustness funnel, in my humble opinion at least.
@bentra - I will checkout the Davey book, thanks for the tip. The two books on my desk at the moment are 'Evaluation and optimization of trading strategies - PARDO' and 'Trading Systems - Jaekle & Tomasini'
Status changed from Waiting for information to Fixed