Or by doing the small increments leading up to the 100k bars test we are making sure we have not curve fit and optimized too much and our strategy is robust enough to stand the tests of time?
No you could just as easily kid yourself and over-fit a strategy by doing the small increments.
When Walk Forward Testing if the value of variables are wildly different for the different OOS periods then you know your strategy probably won’t produce consistent results.
You could of course restrict the values in the optimiser to a small range either side of your optimum for the main BT period (original 10k bars) and if the results over 100k bars during WF are similar for each OOS period then you may have a winner??
Notice I qualify all my statements with probably, may be, it could be … etc?? Well this is intentional because coding a strategy and then going Live is never going to be a black & white scenario, there is never going to be ONE right answer or one correct way to do it. For one thing we are all different, look at me I want almost instant results on short TF’s, others are happy to wait for days / weeks even for a trade never mind a profit! 🙂
Then at the end of all our hard work we launch our System into a changed Market from our Test period and it is downhill / no profit all the way?
Look how many Systems on here were built around / had emphasis on / were optimised over the Bull run in Indices (DAX / DOW in particular) and now they are way underperforming the results gained during endless analysis and Bactesting?
So try and get into the mindset that there is no black and white correct answer, there is no ONE way to do all this? This is what makes it all both an endless challenge and soooo frustrating at the same time and makes me often think … why bother, I’d be better off getting on with the rest of my life!? However, I keep coming back to it, but with subtle changes to my Modus Operandii that makes it all more palatible to my personality etc.
Hope all that is a bit of food for thought!? 🙂 Now I’m off to my other big time consumer … building!
