Detrend = TRADES

Posted By: MatPed

Detrend = TRADES - 11/13/20 17:20

Hi,
from the manual: "Detrend trade results. The trade return is corrected by the average price slope of the current WFO cycle. This removes trend bias from a WFO test while keeping the properties of the price curve.".

Is there anybody that can me make an example to clarify the above statement?

Thank You in advance.
Posted By: MMK

Re: Detrend = TRADES - 01/21/21 09:37

Detrend "tilts" the price curve to eliminate a long-term trend so that long an short trades can achieve the same profit in average. If you use a price curve with a positive long-term trend for training, the long trades will achieve higher profits and might spoil the outcome of your training.
This is the explanation from the Black Book.

I have explained this to myself in way that testing on a long trend price curve will overweight long trades compared to short trades (and vice cersa). This is not realistic as currencys do to not have any long-term trend compared to stocks.
If the real price curve changes the trend your strategy has been trained for it might fail.

Maybe this helps...
Posted By: MatPed

Re: Detrend = TRADES - 01/29/21 16:21

Thank you for your reply. Can you make an example with few trades as example? This is what I am missing
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