Is Walk-Forward (out of sample) testing simply an illusion?

Discussion in 'Strategy Development' started by pursuit, Oct 17, 2017.

  1. pursuit

    pursuit

    Haha. This is why this forum is shit. There is no incentive to share absolutely anything of value.
     
    #51     Oct 31, 2017
  2. sle

    sle

    As a side question, do you believe that your back-testing/optimization methods are a part of your alpha? I have definitely found it not to be the case for myself and most people I’ve spoken to.
     
    #52     Oct 31, 2017
  3. userque

    userque

    In my case, they are.
     
    #53     Oct 31, 2017
  4. pursuit

    pursuit

    is this forum about choosing the best broker and data feeds
     
    #54     Oct 31, 2017
  5. It depends what you're optimising.
     
    #55     Oct 31, 2017
  6. sle

    sle

    Interesting. The only professional traders/PMs I know that have been fairly secretive about that process (rightly so) are HFT guys - it's clearly a tricky topic for them and smart ways can contribute a fair bit. Definitely my strategy pipeline is not a part of my alpha, it's merely a tool.

    Well, let's not touch execution-type stuff (that's a separate question) but things like hysteresis bounds etc.
     
    #56     Oct 31, 2017
  7. Overnight

    Overnight

    You'll get out of this forum what you put into it.

    That is your first nickel-worth of free advice. You have two more in queue. Do not squander them.
     
    #57     Oct 31, 2017
  8. userque

    userque

    I'm not HFT...at most two trades per day. The algo will hold if it thinks the instrument is in a trend.

    Not as secretive as I probably should be. :) It's not that I believe I've found the holy grail, but I certainly won't entertain trolls/manipulators/asholes--even if it were concerning information I have no problem discussing.

    I actually wish I could talk about it completely...but of course, that wouldn't be smart.
     
    #58     Oct 31, 2017
  9. Overnight

    Overnight

    You have an algo that thinks? Fascinating.
     
    #59     Oct 31, 2017
  10. userque

    userque

    :)
     
    #60     Oct 31, 2017
    lawrence-lugar likes this.