Just curious, and I may have missed it in the thread, how do you test your systems?
No it was my original question, because backtesting and WFA uses different time intervals from historical data. Backtesting uses the whole sample,...
You are right but I am not comparing how strategies perform under historical/live data. I am trying to compare which data windows are best to be...
No, they did not posted in isolation, they provided reasons,logic or some kind of proof other than their background. Ok thanks, I will do that....
None of the other posters here backed up their claim with their background, that was the reason why asked for it. And for some reason I cannot...
I am always skeptical to what I read. That is why I asked you for verification for you educational background, hedge fund career, but all you did...
Is judging an walked-forward system (if that is the correct term) against a curved-fitted-to-historical data system the best way to go? Robert...
I really appreciate your help here. Thanks you very much. The previous post of your's regarding nonrobust vs robust fitting was an unknown topic...
I need some verification of that. I , myself, am a newbie with very little live trading experience and a student in a university which is not one...
This is a masterpiece. This list is why I do WFA without bothering with backtesting with whole historical data. I hope people will see this. Can...
Yes, the animation I posted is one of the two types of WFA: rolling WFA, so it is essentially the same thing to the test what you call "rolling...
So you don't optimize your strategy with past data to see if it has value? Can you explain the logic behind your way?
I think they mean "paper trading" or some other sort of demo trading with optimized strategy with live data (unlike past data in WFA) when they...
I am talking about this: [IMG] This is what I mean by Walk Forward Analysis, assuming the current date is the start of the year 2008. So all...
Are you referring to parameters within a system or a system as a whole?
This is true if you backtest and OPTIMIZE. If you just backtest, WFA will optimize the system in its in-sample data and test it on out-of-sample...
I do forward testing too, but before testing the system live, you should do WFA testing to see how your system fares with changing market...
I don't reject any system that I find before doing WFA. I do WFA on them, and based on the results, reject or accept then move on to paper trading.
Hi everyone, Is backtest necessary before WFA, or is it just a waste of time? Considering the fact that WFA will test the strategy's robustness...
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