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KJ Trading Systems Kevin Davey - Ask Me Anything (AMA)


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KJ Trading Systems Kevin Davey - Ask Me Anything (AMA)

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  #191 (permalink)
Market Wizard
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fiverr View Post
Kevin,

What is your take on Walk Forward Optimization? Are you for rolling forward testing or anchored WFO?

BTW, I have come across several PhDs who believes that WFO is curve fitting at its best.

@fiverr -

Can you expand upon the several PhDs (trading experience, background) who say WFO is curve fitting? I'm curious how they are doing their development that leads them to this conclusion.

Thanks!

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  #192 (permalink)
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The comment came from the program director of Algorithmic Trader Association. He believes that WFO is the pinnacle of curve fitting.

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  #193 (permalink)
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fiverr View Post
The comment came from the program director of Algorithmic Trader Association. He believes that WFO is the pinnacle of curve fitting.

Thanks. My experience is totally in conflict with that (unless the WFO is incorrectly done), but that is what makes a market - different people with different ideas.

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  #194 (permalink)
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fiverr View Post
The comment came from the program director of Algorithmic Trader Association. He believes that WFO is the pinnacle of curve fitting.

Was that Alex, Doron or somebody else? Just curious.

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  #195 (permalink)
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fiverr View Post
The comment came from the program director of Algorithmic Trader Association. He believes that WFO is the pinnacle of curve fitting.

I think Kevin Davey has proven that it works just fine as long as you know what you are doing.

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  #196 (permalink)
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Well, if WFO is not an option I wonder what's working... Rolling dices maybe?
I'll be curious to see what was really wrote/said about this, there might be some kind of misunderstanding somewhere.

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  #197 (permalink)
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Has any taken Andrea Unger's trading course? He also does not believe in WFO.

 
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  #198 (permalink)
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fiverr View Post
Has any taken Andrea Unger's trading course? He also does not believe in WFO.

First, I am sure that Andrea's course is really good. I taught a live 4 day class with him in New York last April 2016, and I picked up quite a few good ideas/concepts from him. He is a very good trader. The industry needs more trader/educators like him.

As far as "believe in WFO" I know he does not use it, so I decided to ask him. He does not have an account here, so he allowed me reply for him:

"Hi Kevin,
I've been asked recently twice about WFO and in both cases I stated that I don't use it, I don't recall any occasion where I said I don't "believe" in it. In fact I will include a chapter of WFO in my Strategy Evaluation Course about it. You can answer on my behalf .

Ciao
Andrea"



So my take on this is you can be successful without walkforward (Andrea is). You can be successful with walkforward (I am). More than one way to skin a cat...

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  #199 (permalink)
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In regards to WFO I find that Ninjatrader not necessarily have given the best result in order to have a viable trading result going forward and that the settings it has found could be equally or similar using other settings. The best thing is of course if you do not have to change your settings for the next period. Scalping strategies can be very sensitive to larger differences in stop an targets from period to period which will make your future results a looser if you actually used the setting NT comes up with especially if they differ to much from previous period. It would be better if you were given a matrix of each period of workable settings in order to have a better change of picking an median setting that might be closer to your overall backtest results. So that said I do not use the WFO results as is without further testing.

 
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  #200 (permalink)
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fiverr View Post
The comment came from the program director of Algorithmic Trader Association. He believes that WFO is the pinnacle of curve fitting.


SMCJB View Post
Was that Alex, Doron or somebody else? Just curious.


kevinkdog View Post
He does not have an account here, so he allowed me reply for him:

"Hi Kevin,
I've been asked recently twice about WFO and in both cases I stated that I don't use it, I don't recall any occasion where I said I don't "believe" in it. In fact I will include a chapter of WFO in my Strategy Evaluation Course about it. You can answer on my behalf ."

Now I'm even more interested in who at ATASSN said that.

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