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  • #268503 |
    5 Posts

    Hi everyone
    what is the difference between build strategy from 2013-2018 (50%is 50% oos) and for example 2003-2018 (25-30% oos) ?
    I risk of generating a overfitting strategy?

    1827 Posts


    some say the there is no point using data from 20 years ago. I believe the more data the better. If I can find a strategy that made money steadily for 20 years it tells me its worth to explore. You can easily find a strategy that made money for 7 years but failed for other 13 years.

    Keep in mind you should always have some separated portion of data (like last 2 or 3 years) that is used to evaluate historical performance trend. If the strategy continues to perform in a similar fashion it is again a very good clue it could continue performing in following years …

    5 Posts

    Okay, you’re right.

    Do you think it makes sense to use WFM to improve profits in the near future?

    Maybe for only strategy that only earn in recent years

    797 Posts

    every user could use different workflow – some of thems using WFM only as a robustnest check, so they are not using optimised parameters for the future, some of them does…etc. etc.

    for me its a question of your workflow and your experience – how do you set the WFM, how do you evaluate it and what you will do with the info provided from WFM

    there is nothing like “best way”

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