Fractal breakout intraday Strategy EUR/USD 1H –
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Ale, I am not able to make the London Gas Oil profitable on a 1D TF 🙁
Cheers Kasper
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I also did a SL test on the new one. (FB+TRB EURUSD 1H)
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And one on FBI OPTI on us crude mini.
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Thanks everyone for your great work, just 2 words about optimisation:
If an OOS period of the walk forward test is making too much profit comparing to the IS period, this is not so good. To be clear, the WFE (walk forward efficiency) must be superior to 50% (made at least 50% annualized profit than the In Sample period), but if it made.. let’s say 300%, this is something you couldn’t expect because it is not the “normal” behaviour of the optimised period (IS). Of course you would have been pleased by this result in real life, but your strategy were not designed to make so much profit! so it is not “normal”.So that’s where the optimisation fail, because it always gives the best $ result at the end, in its current version though..
Anyway, I know it is always great to have good looking equity curve, but it’s only a line drawn on your computer screen, there’s so much more useful informations in the numbers.
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Thanks ALE, it doesn’t mean the strategy is not good (because we already know it is), but something optimised during IS period add a bias into the whole test to give the equity curve the most profit at the end.
Good point Nicolas! I think I red that you should use the values from the last section in the WFT, but would it not be better from a robustness view to use a combination of values in between the different values given in the WFT? Which makes the focus less concentrated to a specific period? (It’s just a thought I had)
Yes and .. no! First point you are right because the last optimised variables from your walk forward analysis are the most recent ones (if your last OOS period end recently). Second point is wrong for the same reason that you are right on the first point, because if your WF analysis told you that optimisation should be run every X months, then your last values should be the best ones to keep.. But of course, no one will never know what could be the future.
The robustness feeling about a strategy come from the fact that an optimised one has performed well in real life trading, and that’s exactly what the WF simulation is doing, X times (IS+OOS) in the past. Even 1 OOS period could lead to think that a strategy is robust, but if it performs X times well in Out Of Sample periods (compared to IS periods behaviour) then it is more robust than robust 🙂
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@Grahal
Quite simply, considering that a 70/30% walk forward test has been validated X times over the whole period of the backtest. We conclude from what I said above, namely: optimisation should be run every X months.
The conclusions can be drawn from this type of analysis, as for a traditional optimization. There is no true and absolute truth in trading, one knows only too well! 🙂1 user thanked author for this post.
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