Search results

Just curious, and I may have missed it in the thread, how do you test your systems?

No it was my original question, because backtesting and WFA uses different time intervals from historical data. Backtesting uses the whole sample, WFA seperates it into smaller pieces and does rolling out-of-sample testing. So the question still is: Is...

You are right but I am not comparing how strategies perform under historical/live data. I am trying to compare which data windows are best to be optimized on and tested on.

No, they did not posted in isolation, they provided reasons,logic or some kind of proof other than their background. Ok thanks, I will do that. Because there are many ways to do out-of-sample testing. The WFA (anchored & rolling), optimizing with historical data and testing it live, optimizing...

None of the other posters here backed up their claim with their background, that was the reason why asked for it. And for some reason I cannot view your posts&threads because "This member limits who may view their full profile." I will take that offer after reading your posts.

I am always skeptical to what I read. That is why I asked you for verification for you educational background, hedge fund career, but all you did was referring to some threads in this forum. You said to verify everything even my "comrades" write in this thread, then here I am trying to verify if...

Is judging an walked-forward system (if that is the correct term) against a curved-fitted-to-historical data system the best way to go? Robert Pardo (if I am not mistaken), measures a "Perfect Profit" metric (which is the profit you make when you buy at the dip, sell/short at the peak (this...

I really appreciate your help here. Thanks you very much. The previous post of your's regarding nonrobust vs robust fitting was an unknown topic to me, I am going to research them when my exams are over. Again, thanks for the informative posts.

I need some verification of that. I , myself, am a newbie with very little live trading experience and a student in a university which is not one of the world's best. English is not my first language but I do not use the word "parameterized" wrongly for "optimized" (maybe I'm understanding this...

This is a masterpiece. This list is why I do WFA without bothering with backtesting with whole historical data. I hope people will see this. Can you clarify how you differentiate a non-robust fitting with a robust one? Is non-robust fitting what you do when you make the "steps" too small...

Yes, the animation I posted is one of the two types of WFA: rolling WFA, so it is essentially the same thing to the test what you call "rolling out of sample testing" . However the kind of out-of-sample testing you do is called anchored WFA (so if you see this term don't be shocked :)). So...

So you don't optimize your strategy with past data to see if it has value? Can you explain the logic behind your way?

I think they mean "paper trading" or some other sort of demo trading with optimized strategy with live data (unlike past data in WFA) when they say "forward testing". But you are absolutely right that WFA is the only valid backtesting method.

I am talking about this: This is what I mean by Walk Forward Analysis, assuming the current date is the start of the year 2008. So all analysis&tests are done with historical data. From what I've read in several Wiley Trading series books, this is the only WFA definition there is. Optimizing...

Are you referring to parameters within a system or a system as a whole?

This is true if you backtest and OPTIMIZE. If you just backtest, WFA will optimize the system in its in-sample data and test it on out-of-sample (OOS) data. So my opinion is, WFA will optimize the system to test with OOS data, so why bother with backtesting and optimizing?

I do forward testing too, but before testing the system live, you should do WFA testing to see how your system fares with changing market conditions. To do this live would take ages, however WFA can estimate how your strategy might do on forward testing and live. How would backtesting save time?

I don't reject any system that I find before doing WFA. I do WFA on them, and based on the results, reject or accept then move on to paper trading.

Hi everyone, Is backtest necessary before WFA, or is it just a waste of time? Considering the fact that WFA will test the strategy's robustness and estimate its real time performance better, do you guys do backtests before WFA, or just put a strategy to test with WFA? Thanks.