Should i optimize at 100k and then see if it holds up at 200k? ( walk backwards?) or optimize directly at 200k and then do a normal WF test ?
Hi Seb, I do a combination of both those things. First I optimise all the data I’ve got (200k), then do a WF varying the weakest values, ie the ones I’m least sure of, usually SL, TP, trailing stop, some MA values. If that looks good, then I take the values for the last 70/30 period and run that over all the data. This gives a few months of forward OOS + a much longer historical OOS. If that still looks good then I usually run a VRT randomisation, sometimes several and go for the one that performs best. I expect everyone has a different way of doing these things, but that seems to work for me.
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