If I understanding the most recent variable from WFA report, it does not include the market behaviour between 30/7/18 – 9/1/19.
30/7/18 – 9/1/19 is an OOS period, so variables set / optimised in the IS period (27/11/17 to 30/7/18) are applied (without any further optimisation) to prices in the OOS period.
Hope that helps?
Agreed but my doubt is the variable to be used on live (i know this has been asked for many times). Let me illustrate it for better understanding.
I read the WFA related Guideline / Post from this forum that we should use the most recent variable from WFA analysis (which is variable C). But this is contradict with my understanding of WFA result-> “In order to have a similar gain as shown in historical OOS (s), I should find the best performance variable from last 8 months of data (from today) and use it on the next 5 months. After 5 months, i must repeat this process.”
If i use variable C to live, this meant i am expecting variable C will work for 10 months (OOS(3) + Current Live). This is the main doubt i have when i started to apply WFA for my systems. By the way (from my observation), i don’t expect a good system to have major change from variable C & variable D. If it does, it’s risky for me.
i think this is somehow related to conclusion from Gianluca: “In this little confrontation of those strategies my conclusion are that the atomatic algos doesn’t need a too long and overfitted optimizazion but they nee a constant an monitorated update every 6 months”.
May i have your opinion, shall we use variable C for live or variable D? (if variable C & why?)
br,
