Bufmn
02-15-2016,
I have a EURUSD 5 Min strategy which when I use WFO with it with:
Optimization Period = 3
Test Period = 1
Produces some fairly good results. Now I'm trying to cross check it by correlating each test day with the preceding optimization period so I can start to optimize data for each of my trading days going forward. For example:
The optimized parameters for 09/06/12 in the WFO test = 9/1/45, however then when I optimize the data from 06/06/12 to 08/06/12 (3 preceding days) in my own study it produces optimum parameters of 10/1/37 which differ from 9/1/45.
Can someone explain how I can set my optimization settings so I get parameters of 9/1/45 ? This is the only things stopping me from trading my system. It is profitable according to WFO but how am I ever able to optimize my data for the current trading day if I have no evidence that the 3 preceding trading days I am basing it on provide results similar to that of the WFO test.
Optimization Period = 3
Test Period = 1
Produces some fairly good results. Now I'm trying to cross check it by correlating each test day with the preceding optimization period so I can start to optimize data for each of my trading days going forward. For example:
The optimized parameters for 09/06/12 in the WFO test = 9/1/45, however then when I optimize the data from 06/06/12 to 08/06/12 (3 preceding days) in my own study it produces optimum parameters of 10/1/37 which differ from 9/1/45.
Can someone explain how I can set my optimization settings so I get parameters of 9/1/45 ? This is the only things stopping me from trading my system. It is profitable according to WFO but how am I ever able to optimize my data for the current trading day if I have no evidence that the 3 preceding trading days I am basing it on provide results similar to that of the WFO test.