Question on TMF and WFO training

Posted By: jyd

Question on TMF and WFO training - 03/23/17 23:32

Hi,

Just wonder whether we need to include the TMF in WFO training or not. I have been testing using the TMF (a modified TrailingStopLong from the menu) in a modified workshop 5 implementation. After train without TMF enabled, I can get the following result:

Code:

Monte Carlo Analysis... Median AR 103%
Profit 3803$  MI 46$  DD 461$  Capital 643$
Trades 690  Win 65.9%  Avg +66.8p  Bars 86
AR 85%  PF 1.99  SR 1.19  UI 4%  R2 0.79

Then test again using optimized parameters and with TMF enabled:

Code:

Monte Carlo Analysis... Median AR 115%
Profit 4109$  MI 49$  DD 450$  Capital 636$
Trades 690  Win 67.2%  Avg +72.3p  Bars 92
AR 93%  PF 2.14  SR 1.20  UI 3%  R2 0.86

But if I trained with TMF enabled, then I get this:

Code:

Monte Carlo Analysis... Median AR 88%
Profit 3572$  MI 43$  DD 793$  Capital 822$
Trades 651  Win 62.4%  Avg +65.7p  Bars 95
AR 63%  PF 2.02  SR 0.97  UI 6%  R2 0.52

It seems when trained with TMF enabled, I get a worst result than without. So my question is whether I have done some wrong or we actually need to exclude the TMF during training, but enable it for testing and live trade?

Posted By: jcl

Re: Question on TMF and WFO training - 03/27/17 09:21

If the TMF affects the trade, then you should include it in training, and accept the worse result as more realistic.

Posted By: jyd

Re: Question on TMF and WFO training - 03/28/17 06:51

thanks jcl

Posted By: Ger1

Re: Question on TMF and WFO training - 03/28/17 09:34

Hi jcl

I was wondering exactly the same. Could you please clarify?

Also, in the manual it is recommended:

When your exit system is complex, optimize entry parameters with a simplified exit such as a simple stop. For using a simple exit while the entry parameters are optimized, evaluate the current parameter number (ParCycle), f.i. if(Train && ParCycle <= NumParameters-3) setExitSimple();.

Could you please advise on how and when to implement this recommendation from the manual?

Posted By: jcl

Re: Question on TMF and WFO training - 03/29/17 13:31

"complex" is indeed not a very clear formulation. Better is "when the return strongly depends on the exit system".

Entry parameters should not be strongly affected by your exit algorithm, since this is one of the causes of overfitting.