Recent content by pursuit

What do you think is the probability of SEC filing charges with absolutely no evidence besides "he timed it great!"? And by the way talking can always fuck you too. You're inconsistent in your story? Now it looks like you're lying to federal agents and/or obstructing justice that can be used as...

What do you mean? They would arrest/prosecute you with no proof? Is there any legal obligation for you to provide them with proprietary trading strategies?

What would happen if you told SEC to go fuck themselves? Trading strats are proprietary.

Oh, so you lied because you thought I'm "manipulating" you. LOL you need a psychiatrist, bud.

is this forum about choosing the best broker and data feeds

Haha. This is why this forum is shit. There is no incentive to share absolutely anything of value.

How have your systems tested with WFA fared live? Was performance in line with testing? If so, for how long?

Well... then it's SOLVED. All we need is to use "sliding window optimization" and our system will always work live and will work forever. /s

As you correctly my point is about traditional optimization/backtesting not the "WFA". As you describe WFA is basically "rolling window" optimization.

Optimizing on seg1 and then picking only strats that look pretty on seg2 will result in a similar selection of strats as optimizing on the whole seg3. If we are testing a non-optimized strat - same thing. We end up with a similar selection regardless of whether we explicitly optimize some...

If using just segment 3 is as good as the combo of 1 and 2 then it would be reasonable to use segment 3 of maximum length so our model can experience a wide variety of market conditions in the test.

We all know what shitty and pretty equity curves look like. There is no issue with quantifying it. We can use Sharpe ratio, Sortino, R-squared or any other accepted measure of smoothness. Does not change the validity of my point one bit.

No, model_n will not be selected by the class testing on segment 3. They will see that it did shitty on segment 1 part of segment 3 and will discard it. They're looking for a pretty graph throughout segment 3. That is impossible if segment 1 performed horribly.

The end result is the same though! By keeping only models that look pretty on a segment 2 test we have in fact manually optimized the system to segment 2. We might as well optimize on the whole segment 3. The end selection of systems will be the same.

Suppose we have 1000 models. Two classrooms in two different rooms get the same models and the same data. The first classrooms is full of geniuses who know wassup and will test the "clever way", meaning they test all on seg1, then test pretty ones on seg2 and keep the ones that test pretty on...