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Re: OptimalF factors for every step of WFO?
[Re: jcl]
#476809
04/04/19 14:06
04/04/19 14:06
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Posts: 1,725 Chicago
AndrewAMD
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Theoretically it's already possible with two training cycles, as described on the training page for parameters and rules. It should also work for factors. But probably no one did that before. Try it. OK, I'll look into this.
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Re: OptimalF factors for every step of WFO?
[Re: jcl]
#476869
04/16/19 15:21
04/16/19 15:21
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Posts: 1,725 Chicago
AndrewAMD
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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: 27,978 Frankfurt
jcl
Chief Engineer
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Posts: 27,978
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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
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AndrewAMD
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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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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: 27,978 Frankfurt
jcl
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Chief Engineer
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Posts: 27,978
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