WF testing rising price indices.
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I thought I would provide an example of what I mean. This is a strategy on the DJI which is what i would refer to as a rising price index with a 50/50 x 5 not anchored WF test:
[attachment file=74314]
….and each out of sample period gain plotted in Excel:
[attachment file=74315]
This in my mind is a good WF result even if we would normally be taught to consider an overall WF efficiency ratio of 200% to be a bad result and non level gains to be bad.
Another issue that we should be aware when WF testing is the inaccuracies when testing any strategy with a filter in it that stops the strategy trading in for example bear markets. This filter means that some IS and OSS periods may actually be not trading at all for large parts of the sample being tested. On these sort of strategies getting anything meaningful from WF testing can be virtually impossible.
Here is an example also on the DJI. there are four periods where the strategy was not on the market at all and they are not of equal size or spread evenly throughout the test and so WF test results are pretty meaningless.
[attachment file=74531]
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Summary
This topic contains 6 replies,
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7 years, 7 months ago.
Topic Details
| Forum: | General Trading: Market Analysis & Manual Trading |
| Language: | English |
| Started: | 06/24/2018 |
| Status: | Active |
| Attachments: | 3 files |
