The thread is three months old, nevertheless...
Is there meanwhile a way to obtain more realistic (not selection biased due to OptimalF from the future) test results for Z systems?
I was thinking about the following approach to solve this task at least partially:
- first, delete (move to a different directory) history files for 2016;
- then let Zorro calculate OptimalF on data up to 2014. Copy OptF column from Z1.txt test result file and paste it to .par file;
- then put 2016 history files back where they were; run Test again and check the equity curve during 2016 (the earlier part is biased).

Is it a feasible way?

Originally Posted By: jcl
... I believe the best idea is still to use different factors in the backtest than in live trading. The factors for the backtest are then calculated from the last cycle, for live trading from the whole period. This will reduce the profit in the backtest, but eliminate the bias.

Last edited by webradio; 08/27/16 10:06.