- ago

This is a theoretical question. I am working with some strategies that have too many permutations to do an exhaustive WFO, so I have been using the shrinking window. I have found that often the results of the WFO vary widely. Sometimes the long side does better, sometimes the short side. Sometimes it is very profitable, other times it is either unprofitable or barely profitable.

Does this mean that the strategy is not robust? I suppose I have not tried this with other strategies to see the result but I am trying to make sense of it. Previously my process was that if a strategy has good WFO results then it is ready to go live, but maybe this is too premature.

What do you think? Has this happened to you? Is it far better to use exhaustive analysis, or does the shrinking window method give you a more accurate picture of its live performance potential (when you do it a few times and maybe average out the results)?

Many questions, but they drive at the main question, when can you be sure a strategy is ready for live trading?

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