Ensuring common test period across WFO trials

Posted By: Zheka

Ensuring common test period across WFO trials - 05/01/22 15:42

I am trying to select "the best" number of WFO cycles. However, the more WFO cycles - the longer the total OOS Test period; and so performance stats are not directly comparable.

What would be the way to achieve common test period across such trials?
Posted By: Petra

Re: Ensuring common test period across WFO trials - 05/02/22 09:08

For a fixed period use WFOPeriod instead of NumWFOCycles. For the best number, use the wfoprofile script from the new Zorro version.
Posted By: Zheka

Re: Ensuring common test period across WFO trials - 05/02/22 13:36

The problem is that oos Test period depends on NumWFOCycles. So, wfoprofile script compares apples to oranges.

For EndDate=2022 and NumYears=5, with NumWFOCycles=12, the test period starts in 09/2021, with NumWFOCycles=6, it starts in 05/2020.

Calculating a different StartDate depending on NumWFOCycles is probably possible. But is there a simpler/ready solution?
Posted By: Petra

Re: Ensuring common test period across WFO trials - 05/03/22 10:49

Yes, DIAG is 8, so with 15 you have already a diag.txt and should see the broker commands inside. Look for BrokerBuy, BrokerSell etc.
Posted By: Zheka

Re: Ensuring common test period across WFO trials - 05/03/22 12:38

Petra, you confused the thread
Posted By: Petra

Re: Ensuring common test period across WFO trials - 05/03/22 13:33

Yes. But this one is for you: The test starts at the start date plus one training period. So for getting always the same test start you only need to determine the training period and then shift the start date by the difference of current and longest training period.
Posted By: Zheka

Re: Ensuring common test period across WFO trials - 05/03/22 14:19

Any change in the Start/EndDate in Test vs Train will lead to re-split of data among N WFO periods and application of params to periods they were not trained for, no?
Posted By: Petra

Re: Ensuring common test period across WFO trials - 05/04/22 12:52

Right. After you trained it, leave the dates alone.
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