Posted By: StefanCGN
Strange behavior of OptimalF - 11/01/19 16:35
Hi everyone,
I found out something strange. I trained a portfolio system that showed promising profit factors while observing the training. The overall system has disappointing.
For debugging, I backtestet single assets only one by one. It showed out, that several assets with a positive OptimalF factor are not traded at all with this simple test. I checked the assets list, checked with huge capital,... Nothing helped.
I am sure, that somebody else had the same effect before and can give me a hint....
I found out something strange. I trained a portfolio system that showed promising profit factors while observing the training. The overall system has disappointing.
For debugging, I backtestet single assets only one by one. It showed out, that several assets with a positive OptimalF factor are not traded at all with this simple test. I checked the assets list, checked with huge capital,... Nothing helped.
I am sure, that somebody else had the same effect before and can give me a hint....