It is an exception. The example strategy was selected so that the students could improve their result with every step. Normally a WFO test gives...
I found that stops based on a 1-week ATR generate about 20% more profit than fixed stops. But this depends on your strategy and should be...
Ok, there are some valid arguments but also some misconceptions. The effects that amount to a difference between testing and trading are well...
Do I understand this right: you're going to admit superiority of machine trading when I show you my blotter? :D
I'm always talking under the influence of the mind ;). I have plenty examples, as I've meanwhile used WFO for about 25 strategies since last...
Yes, there are: fundamental analysis. A computer won't care about the latest news, unless it's in a novel by Robert Harris. Technical trading...
The answer of your questions is yes. Walk forward optimization makes sense, is necessary for successful strategy development, and produces worse...
There must not necessarily be a reason, such as a sudden market change. There is also the possibility that the performance gap is just a random...
Surgeon's warning: Reading highly theoretical financial papers can cause severe headache.
Thanks for the link! I also tried first to use a tree for generating trade signals, but this didn't work very well. The trees became too...
I'm currently experimenting with classification and regression trees for predicting if a trade will be profitable or not. The results look quite...
FXCM
FX brokers usually give a tick frequency instead of trade volume. But as far as we've tested it, it has little predictive value.
There are tons of TA books by "profitable career traders", but most of them are worthless for strategy design, and are full of myths,...
Yes, we have similar results. In most medium and long term strategies, the sequences of winning and losing trades have no Gaussian distribution,...
For measuring slippage, you had to place orders with your broker and then store the resulting slippage delay in a 2D matrix with elements orders...
I admit that I had to google RMSE and L2, but I think I know what you mean. When optimizing a trade function, you maximize a derived parameter,...
Well, I think anyone here is familiar with slippage and commission, so I don't need to really explain those terms. When you test a strategy,...
In your example, your optimizer would probably attempt to optimize the number of previous highs, and the stop loss. I assume that your trade...
Yes, weight is equivalent to the importance of the data. However, to avoid misunderstandings, it does not get a better fit. In fact weighted data...
Separate names with a comma.