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Isn't it a good idea to retrain every month? #481008
08/01/20 12:04
08/01/20 12:04
Joined: May 2020
Posts: 22
A
AdamWu Offline OP
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AdamWu  Offline OP
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Joined: May 2020
Posts: 22
Dear all, I saw a lot of backtest of last 5 or even more years. And many of them are doing well years before but not so well this year.

In my test, I used 18 month to train (6 month for a WFT loop), and rencent 2 month as out of sample test. The result is better than train 5 years (1 year for a WFT loop), and it passed the reality check.
The problem is, the optimized parameter only work for latest months. And it will fail for data from 2 years ago.

So based on above test result, and since this year's data pattern changed a lot:
1. Is it a good idea to only use 1-2 years data to train and only latest 2 month to test?
2. Is it a good idea to retrain monthly to include latest data patterns?

Last edited by AdamWu; 08/01/20 12:05.
Re: Isn't it a good idea to retrain every month? [Re: AdamWu] #481011
08/01/20 14:10
08/01/20 14:10
Joined: Feb 2017
Posts: 1,062
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AndrewAMD Online
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AndrewAMD  Online
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This depends on the trading system, its characteristics, and the parameters being trained. Some systems hardly need any training at all, some need weekly training!

Re: Isn't it a good idea to retrain every month? [Re: AndrewAMD] #481021
Yesterday at 00:06
Yesterday at 00:06
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AdamWu Offline OP
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AdamWu  Offline OP
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Posts: 22
Thanks, it is really good to know!


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