- ago
Hi Eugene!

Great Software! I think I will renew!

I have a question about WFO:

- I optimized only one Parameter: Holding period
- WFO optimized differnt holding periods for different time slots
- I ran: "Run Out-of-Sample Back-Test using WFO Parameters"
- in the "Back Test results - Positions" the holding period is not reflecting the WFO Results for the "Hold Max" parameter?

Thank
kurt
0
327
Solved
22 Answers

Reply

Bookmark

Sort
- ago
#1
Hold Max is the name for "Holding Period!
br
ka

P.S.: How can I send Images now?
0
vk7
- ago
#2
You can attach images by pressing this button (image attached).
0
vk7
- ago
#3
Also, what are you trying to optimize?
Exit after x bars (days)?

VK
0
- ago
#4
Hi VK!

- I optimized with WFO one Parameter: Holding period
- WFO optimized the holding periods for different time slots
- I ran: "Run Out-of-Sample Back-Test using WFO Parameters"
- in the "Back Test results - Positions" the holding period is not reflecting the WFO Results?

Thank
kurt
0
- ago
#5
0
- ago
#6

...so the WFO has many different Hold periods.
0
- ago
#7

...so the Hold Period in the years 2013 - 2019 should be around 40 days
0
- ago
#8

...the Hold periods are 30 days and not in the 40´s as indicated in the WFO.
0
- ago
#9
So which parameters are used with the "Run an Out-of-Sample Backtest using WFO Parameters"? The WFO-Parameters??
Thanks!
ka
0
Cone7
- ago
#10
QUOTE:
So which parameters are used with the "Run an Out-of-Sample Backtest using WFO Parameters"? The WFO-Parameters??
All of the Out-of-Sample parameters applied to each of their OOS period. That's the point - to get the results of the complete Out-of-Sample Backtest.

You're correct though. Without knowing anything about the code, etc., I'd also expect to see a holding period around 40 days for the period you indicated. I'll check a WFO and get back to you.
0
Cone7
- ago
#11
As I was designing a test for this, it occurred to me to ask:

1. Is yours a "Building Block" Strategy?
2. If not, did you implement the NewWFOInterval() override method?
0
- ago
#12
It is a "Building Block" Strategy!
0
Cone7
- ago
#13

I wasn't able to duplicate it with blocks either. The signal name isn't "optimized" (we can probably fix that) but you can see that the exit bars changed for the OOS run.

You're using Wealth-Lab 8, Build 12 right?

Please post a screenshot of your strategy, or even better, export it and send it to support@wealth-lab.com with a reference to this thread. Thanks.
0
- ago
#15
...Strategy MOM WFO Test is sent to your support!
Thanks!
ka
0
Cone7
- ago
#16
Got it, thanks. Looking into it.
0
- ago
#17
Hi Cone!
Did You find something out concerning our topic!
I sent an email, but did not got any answer.
Thanks!
ka
0
Cone7
- ago
#18
Yes we did. It's an active bug that has something to do with the External Symbol condition. If you remove the External Symbol, then it works properly. Long story short, it's in the fix queue!
1
- ago
#19
Dear Cone!

Is there a way around the fact that I would like to use the components of an index and the index as a filter? Do I have to use the "External Symbol Condition"?

br
ka
0
Cone7
- ago
#20
QUOTE:
Do I have to use the "External Symbol Condition"?
Only if you want to include the external symbol condition in your strategy 🤷‍♂️

I don't have any more information about this bug other than it's in the fix queue.
0
Cone7
- ago
#21
Fixed for Build 14 - should be ready tomorrow or the next day!
0
Best Answer
- ago
#22
....super!
Thanks!
k
0

Reply

Bookmark

Sort