Isn't it a good idea to retrain every month?

Posted By: AdamWu

Isn't it a good idea to retrain every month? - 08/01/20 12:04

Dear all, I saw a lot of backtest of last 5 or even more years. And many of them are doing well years before but not so well this year.

In my test, I used 18 month to train (6 month for a WFT loop), and rencent 2 month as out of sample test. The result is better than train 5 years (1 year for a WFT loop), and it passed the reality check.
The problem is, the optimized parameter only work for latest months. And it will fail for data from 2 years ago.

So based on above test result, and since this year's data pattern changed a lot:
1. Is it a good idea to only use 1-2 years data to train and only latest 2 month to test?
2. Is it a good idea to retrain monthly to include latest data patterns?
Posted By: AndrewAMD

Re: Isn't it a good idea to retrain every month? - 08/01/20 14:10

This depends on the trading system, its characteristics, and the parameters being trained. Some systems hardly need any training at all, some need weekly training!
Posted By: AdamWu

Re: Isn't it a good idea to retrain every month? - 08/02/20 00:06

Thanks, it is really good to know!
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