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:
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:
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:
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?