(A1) Let's say I'm optimizing for 2 parameters... (A2) In my initial backtesting and analysis, I would use the same parameters across the board...
About 8 trades per month. So if I do 9 months in sample, 3 months out of sample, I am getting ~24 trades in the walk forward analysis. There...
What is the most often used unit and period to measure beta? (i.e. end of month data for 5 years? or daily data for 3 years? etc...)
What is the best walk forward optimization ratio for in-sample vs out-of-sample data? I am currently testing on intraday data (hourly). Should...
Ok, that is what I was hoping to hear. Thanks for the replies. Note, these are only backtested results, so I'm not going head over heals until...
How should I evaluate my Sharpe ratio - using annual or monthly returns? I use NinjaTrader (which calculates based on monthly data), and I have...
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