Optimizing question

jebus89 · Mon, 28 Jan 2019 21:19:25 +0000

So i was thinking, lets say youre optimizing your algo on 50% of the available data so u dont curvefit, what if u optimize the other 50% and just basicly match the best variables that are/look the same in the first and the second part of ur 50% data? Anyone done any reading on stuff like that? The reason im asking is cus ive seen a couple of times a system where i have written down the “top 5” variable-combination from optimizing, then when im checking on the other 50% of my data, then i might find that 4/5 of the combinations fall apart, but suddenly the last optimized combination of variables look amazing! Which obviously leads me further down the rabbit hole: Is it safe to use that 1 combination? I have taken that “1 combination” and run a walk forward with variables close to the ones ive chosen and it passes the test (got it in demo now), but again im wondering if what im doing is actually considered stupid or not. Up until now i have just thrown away the whole thing if the optimized (on 50% of the data) looks like shit when checking the whole 100%, but what if i just chose the wrong combination of variables when i chose to check on the 100%? Thoughts?

This topic has 15 replies, 4 voices, and was last updated 5 years ago by Vonasi.

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02/02/2019 at 5:04 PM #90311

Vonasi

GraHal wrote:

I’ve always used WF as a final confidence check not as my main optimiser tool.

This is how I use it too. A sort of final curve fit check. Some strategies could give very different results just depending upon which bar you first start trading on so WF tests this issue too.

As for anchored and non-anchored – in my mind neither has benefits over the other. They are both good robustness tests and curve fitting tests so I use both of them.

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GraHal

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Optimizing question

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