Search results

(A1) Let's say I'm optimizing for 2 parameters... (A2) In my initial backtesting and analysis, I would use the same parameters across the board for all symbols. However, even though optimizing is curve-fitting, I would have to think that it can be used to give me the best chance to win going...

About 8 trades per month. So if I do 9 months in sample, 3 months out of sample, I am getting ~24 trades in the walk forward analysis. There are 7 bars per day for this particular system. So that is 1260 bars in-sample (assuming 20 days/month) for 420 bars traded on the walk forward...

What is the most often used unit and period to measure beta? (i.e. end of month data for 5 years? or daily data for 3 years? etc...)

What is the best walk forward optimization ratio for in-sample vs out-of-sample data? I am currently testing on intraday data (hourly). Should it be ~3:1?

Ok, that is what I was hoping to hear. Thanks for the replies. Note, these are only backtested results, so I'm not going head over heals until the results are real. One-

How should I evaluate my Sharpe ratio - using annual or monthly returns? I use NinjaTrader (which calculates based on monthly data), and I have incredibly low Sharpe ratios. I don't know if I should refine a strategy b/c this ratio is not very strong, and I know it is vital. For instance, my...