Posted By: danatrader
Impact of retrain - 09/30/20 19:20
While testing a strategy, retrain seems to not be considered.
Trained strategies should be, while backtesting be "retrained", as of to the extend possible by the available data, considering the rolling change to the stratetgy parameters.
E.g. retrainDays is set to 7, so backtest should actually do that, without looking to the future.
Trained strategies should be, while backtesting be "retrained", as of to the extend possible by the available data, considering the rolling change to the stratetgy parameters.
E.g. retrainDays is set to 7, so backtest should actually do that, without looking to the future.
