1 (edited by sleytus 2022-07-31 17:57:01)

Topic: OOS Analysis -- short or long data horizon -- that is the question...

I've recently returned to forexsb -- still the finest software out there...

Stepping up to the podium...

With regards to data horizons -- both in back-testing and OOS analysis -- I believe most traders harbor a misconception.  The misconception is that the longer the data horizon then the smarter the EA.  There are some guys who would go back to dinosaur times tick data if they could get their hands on it.  But here's the deal -- indicators and EAs use algebra and algebra does not learn and can not be trained.  It strictly uses just the input (x,y) data and computes the best settings for that exact input data.

Market conditions constantly change and, so, the input (x,y) data is a moving target.  Unless you have a time machine you can't trade on historical data.  The most important and **relevant** part of your data horizon are the most RECENT time points.  You want the optimizer to compute the best settings for the most RECENT data.  The more historical data you feed to the algebra then the more biased the optimized settings will favor the historical data.  That is -- historical data has a tendency to skew and pollute the results.

So -- I'm claiming that the goal should be the shortest data horizon, with the caveat that you need a minimum number of trades for the computed stats to be statistically significant.

As an example -- suppose I'm trading CADJPY / H1.  I like a data horizon of about one month with an OOS of 30% -- something like that.  Since I trade in real-time then I want the input (x,y) data to favor current market conditions so that the optimizer computes the best settings for current market conditions.

Stepping down from the podium...

Agree?  Disagree?  Don't care?

Best of luck with your trading...

Re: OOS Analysis -- short or long data horizon -- that is the question...

Another  EA developer favors short data, and has impressive returns.

Myself I prefer 3 months

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

3 (edited by sleytus 2022-07-31 18:41:16)

Re: OOS Analysis -- short or long data horizon -- that is the question...

Blaiserboy wrote:

Another  EA developer favors short data, and has impressive returns.

Myself I prefer 3 months


BlaiserBoy -- I defer to you.  Many moons ago you were the one who turned on the light bulb for me and reminded me that indicators and EAs are not a black box -- they're just algrebra...   smile

Re: OOS Analysis -- short or long data horizon -- that is the question...

Hey guys - I'm hoping you can share some advise to me please.

I'm using Reactor to generate strategies, and then Portfolio Export to run them in MT5.

I trade 5m AUDUSD, so I've been using Reactor to generate lots of strategies, but I have to run it quite far back - I use Opt and then Norm and then Monte Carlo.  I've tried running shorter date horizon, because I tend to agree with you about long term optimisation (fitting etc), but Reactor seems to struggle to find strategies that have more than 100 trades in the short period time horizons...

Sleytus - you mentioned 1h over a month horizon...is your criteria 100 trades min as well?