Nicholas guideline, he recommended variable C if I am not wrong
I would only go with Variable Value C (most recent IS period) if the period looked typical as far as price movement / fluctuations.
For example if there was a massive spike or fall then I would not use Variable Value C on Forward Test as the optimiser will have chose best value for Variable C to give max profit for that (not typical) most recent IS period and so likely will not give the best performance going forward.
Also to then further optimise over the period including the most recent OOS period and so end up with variable values for (your) period D has to better than period C alone (more data from very recent) … provided of course that the variable values don’t differ wildly from period C WFA optimisation values.
In my opinion … there will always be a element of subjective judgement when deciding on which IS period WFA optmisation values to go forward with and Nicolas recommendations are for guidance and not rigid adherence?
Please feel free to offer alternate views anybody?
