Hello community…
I have been having fun attemtping to develop trend following systems using the ‘iterative and incremental’ approach…. I have tried to develop the system in a way that each stage results in a functional trading system, with the idea being that as I go through the stages the system becomes better until I am left with a system that I have the confidence to run Live.
Anyway, I have become rather confused upon finishing what I consider the last phase of development: robustness testing. I am using the Walk Forward Analysis tool and the problem is that I am not sure how to interpret the Walk Forward Efficiency ratio results…. here is the WF Efficiency over 5 stages at 70/30. (Apologies, I can’t save the ‘Walk Forward statistics’ tab itself for some reason, when I try to ProRealTime instead saves the ‘Advanced Chart’ tab, any ideas why this is?? I am able to save the ‘Detailed Report’ tab which I have included.)
here are the WF Efficiency results:
1: +93.46
2: +80.89
3: +111.62
4: +171.91 (this period includes the start of COVID-19 crisis when volatilty increased dramatically)
5: +106.41
I should mention that I am using the ‘Anchored’ approach as I believe with the amount of trades generated in the system I can achieve better statistical significance than with ‘non-anchored’ version. Am I correct in assuming this?
Hopefully someone can provide me with some clarity…
Kind Regards
Jim
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