The fact that the backtests are based on WFO analysis, if one develops an strategy which results are based on the results obtained in recent period backwards, then one has to keep on optimizing it every certain period of time, say every month or couple of weeks, right? Though in Z5 this is not necessary as you were mentioning somewhere.

Would you advice to keep on optimizing a particular script every certain period of time or rather any number of 50-100 trades backwards for degree of freedom?

This brings the question also that better keep changing the script every certain period of time?. Some particular script adapts better in the inmediate 5 years back than in the 5 years old back in the past. For instante, in one script I get with 10 cycles WFO:

2000-2005, AR = 4 % , nr trades 193 for two degrees of freedom
2005-2010, AR = 191 %, nr trades 313
2008-2013, AR = 77 %, nr trades 282

As far as I understand, if a script doesn't consider the trend and it behaves in a similar way in an upward, downward and sideways period, then it gives more confidence. Other reasons, like periods of less volatility may be also behind the different behaviour.

Last edited by Mangal; 02/20/14 08:58.