First, I optimize my algo in a regular back test 70% of the time.
Surely we would only need to optimise over 70% IS of the time if we were then going to use WF on 1 repetition so we need the other 30% as OS.
I optimise over 100% of the time and then do a WF over 5 repetitions to see the variations of variable values over the 5 x OS periods and also how these compare with the variable value I chose over the 100% of time.
If variable values over WF 5 x OS and 100% non WF are similar / within a narrow range then I get excited!!! 🙂
