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Re: Optimum length of WFO training cycles
[Re: ibra]
#447922
01/13/15 04:41
01/13/15 04:41
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Joined: Apr 2014
Posts: 482 Sydney, Australia
boatman
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Senior Member
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OP
Senior Member
Joined: Apr 2014
Posts: 482
Sydney, Australia
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Yes, I went through each asset one by one in this case. Although I did read about an approach that someone else was using (DdLV I think) where he ran a walk-forward test on multiple assets and selected those to trade via the calculated OptimalF. I think its a good approach and makes sense, and I do intend to adopt it at some point! I believe the thread was called "design approach" or something similar if you want to search for it.
I know what you mean about not finishing off strategies! I have a couple of others that I am testing, but not quite satisfied with. I find it hard to know when to keep developing the strategy, and when to abandon it and focus on something else.
At the moment, my portfolio only consists of the one strategy. I hope to add another one or possibly two in the next few weeks, but I'm not quite satisfied with their testing yet. We'll see.
I am also not trading the built in strategies. I ran Z12 for a while, but had disastrous results that were clearly not aligned with the backtest. Often, even the backtest itself fails, indicating that something is clearly wrong. It seems that others have had problems too, judging by some of the posts here. I couldn't get a very satisfactory answer from support, so I decided that it is better to build my own strategies. At least then I can only blame myself when something goes wrong!
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