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Re: OptimalF factors for every step of WFO? [Re: AndrewAMD] #476886
04/18/19 13:17
04/18/19 13:17
Joined: Feb 2017
Posts: 1,718
Chicago
AndrewAMD Online OP
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I checked, and there was no bug. All of the Optimal F values came through.

So now that I know it's not a bug, I think I have a strategy problem!
* I have a trend/reversion system that I use to trade a portfolio of ~50 stocks.
* Apparently, Optimal F for every walk ruins the system!
* Whereas, simple OOS test with Optimal F works very well.
* And, one Optimal F value for all combined walks also works well.

Question: If ALLCYCLES is disabled, what exactly is Optimal F "peeking" at? Future walks, or is it actually peeking at test data too?

Re: OptimalF factors for every step of WFO? [Re: AndrewAMD] #476887
04/18/19 13:28
04/18/19 13:28
Joined: Jul 2000
Posts: 27,977
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jcl Offline

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It is peeking at the test data. Because OptimalF is taken from the complete test, the current walk affects the factors and is thus not completely out of sample. The effect is not large, but it is there.

OptimalF calculation needs as many trades as possible, that's why it's taken from the complete test by default.

Re: OptimalF factors for every step of WFO? [Re: jcl] #476888
04/18/19 13:32
04/18/19 13:32
Joined: Feb 2017
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AndrewAMD Online OP
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So if I wanted as much Optimal F data as possible without peeking, for example, I can train OOS with ALLCYCLES enabled, correct?

Re: OptimalF factors for every step of WFO? [Re: AndrewAMD] #476891
04/18/19 13:55
04/18/19 13:55
Joined: Jul 2000
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jcl Offline

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I believe ALLCYCLES has only an effect with WFO. A possible solution would be to generate the factors with a sort of cross validation, from the previous and next cycles, but not from the current cycle. But this had to be implemented, I think it cannot be done by script.

Re: OptimalF factors for every step of WFO? [Re: jcl] #476893
04/18/19 13:58
04/18/19 13:58
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AndrewAMD Online OP
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So for now, I need to manually set the dates with my script?

* If it is trainmode, dates are from A to B. Get factors.
* If it is testmode, dates are from B to C. Use factors.

Re: OptimalF factors for every step of WFO? [Re: AndrewAMD] #476895
04/18/19 14:04
04/18/19 14:04
Joined: Jul 2000
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jcl Offline

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Yes, that could work.

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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Thank you.

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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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?

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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jcl Offline

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Yes.

Re: OptimalF factors for every step of WFO? [Re: jcl] #476946
04/26/19 13:43
04/26/19 13:43
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AndrewAMD Online OP
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Thanks, this simplifies my setup.

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