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  • #268503 |
    Customer
    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?
    Thanks

    #268550
    tomas262
    Administrator
    1827 Posts

    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 …

    #268562
    Customer
    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

    #268573
    Customer
    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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