3 months and your equity curve changes completely…

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  • 04/07/2020 at 8:32 PM #125140 quote
    Roberto S.
    Participant
    Average

    Hi, I’m using a system since October 2019.
    I was happy until Coronavirus hit.
    I run the walkforward to get the more recents params to use in the following few months.
    Now I run a test again because I was testing an idea to prevent entering on volatility peaks we had in march.
    I had a very bad equity curve running from 2018-04 (1st days) to 2020-03 (the end) (see from_2018-04.png screenshot).

    I replaced the starting date with the one used in the previous test I made in January (so starting from 2018-01) and the equity is totally different (see from_2018-01.png screenshot).

    I’m using optimization through “Gain” (if the translation from Italian is correct).

    Any suggestion to make the equity not so dependent on the period used for testing? 3 months are not so much…

    Regards
    R

    EDIT: I fixed the end date of test to the right one 2020-03. In the 1st version of this topic I put the wrong one 2019-03

    from_2018-04.png from_2018-04.png from_2018-01.png from_2018-01.png
    04/09/2020 at 2:23 PM #125443 quote
    Roberto S.
    Participant
    Average

    Probably my question is not clear.

    Let m know and I’ll try to explain myself better.

    Regards
    R

    04/09/2020 at 2:54 PM #125449 quote
    GraHal
    Participant
    Master

    Yes I have read it a few times and still not quite sure what you are having trouble with?

    As few words as possible is always the best. 🙂

    Roberto S. wrote:

    Any suggestion to make the equity not so dependent on the period used for testing?

    ‘BackTesting’ or ‘Walk Forward Testing’ or ‘Live Forward Testing’?

    Roberto S. thanked this post
    04/09/2020 at 4:33 PM #125462 quote
    Nicolas
    Keymaster
    Master

    The equity curve is different if you start your analysis from a different date. Keep in mind that walk forward analysis divide the periods into X occurrences divided into IS and OOS periods..! In each occurrence, only the In-Sample period is optimized and the Out-Of-Sample period serve for testing the best settings found.

    So, in brief, if you start the backtest earlier in history, all the IS periods will be different (moved backwards) and hence the very different results at the end of the chosen backtest date. Hope I’m clear 🙂

    GraHal and Roberto S. thanked this post
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3 months and your equity curve changes completely…


General Trading: Market Analysis & Manual Trading

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Roberto S. @roberto-s Participant
Summary

This topic contains 3 replies,
has 3 voices, and was last updated by Nicolas
5 years, 11 months ago.

Topic Details
Forum: General Trading: Market Analysis & Manual Trading
Language: English
Started: 04/07/2020
Status: Active
Attachments: 2 files
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