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Data Build Strategy

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Daniele

Subscriber, bbp_participant, customer, community, 6 replies.

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3 years ago #268503

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?
Thanks

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tomas262

Administrator, sq-ultimate, 2 replies.

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3 years ago #268550

Hello,

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 …

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Daniele

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3 years ago #268562

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

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hankeys

Customer, bbp_participant, community, sq-ultimate, 487 replies.

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3 years ago #268573

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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