Topic: How to avoid curve fitting over optimization
Hi,
did you have some tricks or settings to avoid over optimization and or curve fitting?
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Forex Software → Expert Advisor Studio → How to avoid curve fitting over optimization
Hi,
did you have some tricks or settings to avoid over optimization and or curve fitting?
You can do double OOS validation
Cut the historical data, for example the end date would be 12-31-2018, and then you can set OOS percentage and set the acceptance criteria for the OOS data.
After you get the strategies you can revalidate them again with uncut/whole historical data.
Hi double OOS don´t help so much.
For example:
I generate 1000 Strategies.
The first OOS filter remove 500 Strategies 1000-500=500
The second OOS filter half of this strategies 500-250=250
In the rest pool are too much curvefitted strategies.
The best way is to find a good generation setting. Choose the optimal indicators and SL TP settings.
OOS filter, Walkforward and Montecarlo are tools to decrease the curvefitting a little, but don´t solve this problem.
I think the best way is to use an optimal setting.
Choose strategies with many trades, more trades means less curvefitting.
for example:
You have an trading idear, you can set your indicators
You need good knowledge in forex and trading to use optimal settings.
Some generals tips to avoid curve fitting. Not all tools are applicable for all types of trading/strategies. Use when required. Some may or may not be available in EA Studio
- Monte Carlo testing
- Walk Forward Testing
- Increase sample size
- Reduce the degrees of freedom of steps for SL, TP, indicators etc. For example, minimum ATR step of 0.5 (0.5, 1, 1.5 etc).
- Round values to nearest 5, 10, logical number etc. For e.g, if a SL is 197, round it to 200. Is it still profitable?
- Apply strategy to multiple time frames, broker data and instruments.
- Use (and understand how to use) OOS/IS.
Ultimately it is very hard to avoid curve fitting and generally you will require further analysing post-generation in the live environment.
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