Quote from goodgoing:
If "realistic" means worse, would that make "reality" mean disaster? Because in reality there are unknown effects that make things even worse.
Why do you think optimizing during a choppy market period and then trading during a trending market is any good? It is a bad idea. WFO is a bad idea in general. A parameter optimization session should include a wide variety of market conditions. Like most things in trading, some guy once mentioned the method in his book and some other guys continue talking about it. Most of those who use it in actual trading fail. This is the truth.
There is an interesting ongoing discussion in this forum:
Some people who actually work with systems claim OOS testing is useless.
Ok, there are some valid arguments but also some misconceptions.
The effects that amount to a difference between testing and trading are well known and based on relatively simple math. WFO is one method to deal with those effects. There are several other methods, but they are more complicated or less effective.
Some years ago, algo developers believed that strategy parameters should be optimized for a long time span and cover as many different market conditions as possible. Then the strategy was considered stable. As it turned out, it was not. Strategies optimized this way tended to become unprofitable in real trading after a remarkably short time.
No matter how many market conditions you want to cover with your parameters, you'll always encounter a completely new market situation in real trading after a while.
You can do a little experiment: Take one of your profitable strategies, and optimize and test it in the traditional way with a simulation period of 4 years, 6 years, and 8 years. You will almost always find that the 4 years test is the best, 6 years is worse, and 8 years is the worst - no matter in which year you start the simulation. This should answer the question about the usefulness of WFO.