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?
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.