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#465223 - 04/13/17 09:31 Combine strategies with different WFO cycle numbers
Ger1 Offline
Newbie

Registered: 03/28/17
Posts: 34
Hi,

I want to combine various non-correlated strategies into one portfolio.

Obviously each strategy has its own optimum training and test length, which results in different WFO cycle numbers.

Further, I require oversampling for some of my slower-paced strategies but do not want to use this feature on all strategies.

Is there a way to code up different WFOCycles and different NumSampleCycles for each of my strategies and test them all in one script?

Or likewise, is there something equal to the "Combine" script, which is able to handle strategies with different WFO cycle numbers?

Thanks.

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#465229 - 04/13/17 10:47 Re: Combine strategies with different WFO cycle numbers [Re: Ger1]
jcl Online

Chief Engineer

Registered: 07/22/00
Posts: 25979
Loc: Frankfurt
What you could do is training and testing the strategies separately, and combine them for live trading only.

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#465246 - 04/14/17 05:44 Re: Combine strategies with different WFO cycle numbers [Re: jcl]
Ger1 Offline
Newbie

Registered: 03/28/17
Posts: 34
Thanks for your prompt reply jcl.
So in this case I also can't make use of the "ReTrainDays" function?

Is there any advantage to combine strategies with different WFO numbers over trading them separately in the first place?

Also, is there a way to use over sampling on 1 strategy but switch it off for another?
This would be very useful for combing a trend following strategy that only has a small number of trades (hence I want to over sample) and a mean reverting strategy (where I can't implement over sampling due to seasonal effects).

Cheers


Edited by Ger1 (04/14/17 06:13)

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#465365 - 04/21/17 17:32 Re: Combine strategies with different WFO cycle numbers [Re: Ger1]
jcl Online

Chief Engineer

Registered: 07/22/00
Posts: 25979
Loc: Frankfurt
Normally not. Special features that affect the creation of bars require separate scripts. A portfolio must normally use the same sort of bars and the same training method. Only time frames and bar offsets can be individual per asset.

Combining strategies has the advantage that you only need to start a single script, and that it uses less resources and bandwidth than separate scripts. But it has normally no effect on profit.

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