Is Walk-Forward (out of sample) testing simply an illusion?

userque said:
Note: I can't be manipulated into revealing information I wouldn't normally reveal. I'm a pretty good Texas Hold'em player.

This is your thread. I haven't started a thread revealing my data. If you want me to compile data for you, I can quote you a price.
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Haha. This is why this forum is shit. There is no incentive to share absolutely anything of value.
 
userque said:
Note: I can't be manipulated into revealing information I wouldn't normally reveal.
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As a side question, do you believe that your back-testing/optimization methods are a part of your alpha? I have definitely found it not to be the case for myself and most people I’ve spoken to.
 
sle said:
As a side question, do you believe that your back-testing/optimization methods are a part of your alpha? I have definitely found it not to be the case for myself and most people I’ve spoken to.
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In my case, they are.
 
sle said:
As a side question, do you believe that your back-testing/optimization methods are a part of your alpha? I have definitely found it not to be the case for myself and most people I’ve spoken to.
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It depends what you're optimising.
 
userque said:
In my case, they are.
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Interesting. The only professional traders/PMs I know that have been fairly secretive about that process (rightly so) are HFT guys - it's clearly a tricky topic for them and smart ways can contribute a fair bit. Definitely my strategy pipeline is not a part of my alpha, it's merely a tool.

lovethetrade said:
It depends what you're optimising.
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Well, let's not touch execution-type stuff (that's a separate question) but things like hysteresis bounds etc.
 
pursuit said:
Haha. This is why this forum is shit. There is no incentive to share absolutely anything of value.
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You'll get out of this forum what you put into it.

That is your first nickel-worth of free advice. You have two more in queue. Do not squander them.
 
sle said:
Interesting. The only professional traders/PMs I know that have been fairly secretive about that process (rightly so) are HFT guys - it's clearly a tricky topic for them and smart ways can contribute a fair bit. Definitely my strategy pipeline is not a part of my alpha, it's merely a tool.
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I'm not HFT...at most two trades per day. The algo will hold if it thinks the instrument is in a trend.

Not as secretive as I probably should be. :) It's not that I believe I've found the holy grail, but I certainly won't entertain trolls/manipulators/asholes--even if it were concerning information I have no problem discussing.

I actually wish I could talk about it completely...but of course, that wouldn't be smart.
 
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