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Walk forward is a sliding windows validation process which cuts your backtesting period into smaller In Sample and Out of Sample period say theres 12 weeks of your data cut it into 4 weeks of in sample and 2 weeks of out of sample and reoptimize every OOS period. WFO 1 IS : 1- 4...

A little bit on curve fit in backtesting. Since a lot of people here shouts curve fit on every computer generated strategy. For any given financial time series containing OHLC data, If the main input to your optimization program is finding the best lookback period to use for Moving...

PlsNoBull Please see the attached file.

Cool comrade, Thats a beautifull equity curve.

yeah, comission is a big cost of my average trade profit, but backtest shows me profitable, last 2 mths live proves it. Surely other ppl here on et have had a similar system ? I was thinking if itz still stable for at least another 3 months i can go prop ? I can't rent out my system like dom...

Well, its backtested with over 5000 trades in 6 years, trade at least 10 rt per day now. It would be hard to curve fit that no ? backtest results show that market conditions have existed for 6 years at least, so im at least expecting another year or two before it degrades.

I agree with NN and most non linear ML methods, but am currently trading live a system from a gp result. Doing quite well too, but offcourse I validated on 3x as much of OOS result from IS and verified the pattern again in R.

Hahaha no kidding, Look at his forex system performance http://www.myfxbook.com/members/fxgrowthbot/forex-growth-bot/71611 That'll no doubt inspire confidence I've never seen a breakdown like that.

Hahaha. It's just that I feel the math toolbox that I'm using for trading is too simple. Got an urge to abstract away and build nice models.

Woo Wee, that's a mighty fine house, with sweet vintage cars. I admit if he invited me to come over there and talk about investments I would probably have said TAKE MY MONEY.

Thanks for the input, My suspicions is confirmed then, I'll stick to linear Machine Learning for now.

Whats ur take on the paper by deustche bank in my first post ?

How long was the backtest period if your having to reoptimize so often. What was your Walk forward Analysis result ? I've been running for close to two month and haven't had to reoptimize any of my system params yet I trade 5 RT futures daily.

Well I am trading Live my very first system. :D Pretty good so far. So any stochastic calculus users or NN users here ?

Hi ETers, I'd like to review techniques relating to quantitative trading. 1. Stochastic Calculus I understand it's uses for assets and options pricing, but have anybody successfully use it for alpha generation in futures or fx trading ? I came across this...

This, I have to agree. This aint your daddy cl anymore. Theres no more traditional PA trending move. Its bots vs bots

Generally you use R for finding patterns in the historical prices. One you found those patterns then code them in a language that is compatible with your broker API

Try using R or rapid miner to find patterns predating a trend.

Whut ?

Im typing from a tablet, pardon for the spelling error. yes, i can browse the current population, since my gp only does 1 generation every 5 mins. At 10,000 generations a second whats the size of your population ? I think your doing something wrong.