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Walk Forward Optimization Help - Sample Size
Started:May 22nd, 2014 (02:13 PM) by hawkeyepdx Views / Replies:344 / 0
Last Reply:May 22nd, 2014 (02:13 PM) Attachments:0

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Walk Forward Optimization Help - Sample Size

Old May 22nd, 2014, 02:13 PM   #1 (permalink)
Trading Apprentice
Centennial, CO
Futures Experience: Intermediate
Platform: tradestation
Favorite Futures: futures
Posts: 1 since May 2014
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Walk Forward Optimization Help - Sample Size

futures.io (formerly BMT) Community,

I have a batch of strategies that do not produce a large number of trades (n<300) i.e. swing trades. What is a minimum that should be used in the Tradestation WFO for it to be effective? Or can it be set up to work based on the number of trades?

If the number of trades is less than this minimum (but still n > 27), would it be acceptable to choose a paramenter set that has a robustness >= 100 in the Walk Forward Strategy Optimization Report?

Can this chosen parameter set then be put into the WFO with no change in parameters (using a variable that would have no effect on outcome) for validity?

Thanks - I'm pulling my hair out trying to decide which is best.

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