Topic: Interpreting the Optimizer's result
I have a strategy that I thought was pretty good, and then when it ran through the Optimizer (I told it to optimize everything), it appeared to become much better. I understand that this is somewhat to be expected, because it is now "curve fit" to the most ideal conditions for this data.
Well, what surprised me is that the most dramatic improvement came AFTER the OOS line (the final 30%). I did tell it both during the Generator and Optimizer steps to set aside 30% for OOS. My understanding is that this 30% would not be used during the calculation of the strategy, just as a forward test.
After the Optimizer ran, the portion specifically after the OOS line because much better looking than the portion before the OOS line, in my opinion.
Is this normal? Or unusual? I would have thought that the OOS portion would be more likely to perform inline with the pre-OOS portion, or even sideways.
I'm attaching a screenshot here of the graph after the Optimizer ran. Thanks