Hi

I read in a post about z12 http://www.opserver.de/ubb7/ubbthreads.php?ubb=showflat&Number=449794&page=19. There, jcl is referring to a possible bias due to the calculation of the OptF factor


So I wonder if there is a way to eliminate or evaluate such a bias. Something similar to the detrend function which is used for different kind of bias.

The bias could be eliminated by calculating the OptF factors not from the whole period, but using new factors for every WFO period. This would indeed work for factors calculated in a different way, but not for Optimal-F, since they rely on the extrema over the whole backtest.

So the answer is no, the factor bias can not be eliminated in an easy way. It is thus recommended to develop the system with no factors for verifying if it is profitable or not. Use the factors only in the last step.

Good to know that there is a way eventhough the strategy comes with this bias.

Interesting stuff