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Re: OptimalF factors for every step of WFO?
[Re: AndrewAMD]
#476895
04/18/19 14:04
04/18/19 14:04
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Joined: Jul 2000
Posts: 27,977 Frankfurt
jcl
Chief Engineer
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Chief Engineer
Joined: Jul 2000
Posts: 27,977
Frankfurt
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Re: OptimalF factors for every step of WFO?
[Re: jcl]
#476896
04/18/19 14:18
04/18/19 14:18
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Joined: Feb 2017
Posts: 1,718 Chicago
AndrewAMD
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OP
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Posts: 1,718
Chicago
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Re: OptimalF factors for every step of WFO?
[Re: AndrewAMD]
#476938
04/25/19 19:27
04/25/19 19:27
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Joined: Feb 2017
Posts: 1,718 Chicago
AndrewAMD
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Just to confirm, in ALLCYCLES mode, Zorro's OptimalF calculations never peeks at any test data, correct? As in, it only looks at the training data for a given walk, and not the test data for that walk?
For example, if I did an Anchored WFO ALLCYCLES test with two (2) cycles, the first cycle will effectively act as a simple OOS test, where optimal F is not peeking at test data, and the second cycle will prepare Optimal F for live trading by getting as much trading data as possible. Correct?
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Re: OptimalF factors for every step of WFO?
[Re: AndrewAMD]
#476942
04/26/19 06:49
04/26/19 06:49
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Joined: Jul 2000
Posts: 27,977 Frankfurt
jcl
Chief Engineer
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Chief Engineer
Joined: Jul 2000
Posts: 27,977
Frankfurt
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