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Detrend = TRADES #481889
11/13/20 17:20
11/13/20 17:20
Joined: Feb 2015
Posts: 629
Milano, Italy
M
MatPed Online OP
User
MatPed  Online OP
User
M

Joined: Feb 2015
Posts: 629
Milano, Italy
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?

Thank You in advance.

Re: Detrend = TRADES [Re: MatPed] #482268
01/21/21 09:37
01/21/21 09:37
Joined: Nov 2020
Posts: 5
M
MMK Offline
Newbie
MMK  Offline
Newbie
M

Joined: Nov 2020
Posts: 5
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.

Maybe this helps...

Re: Detrend = TRADES [Re: MMK] #482363
01/29/21 16:21
01/29/21 16:21
Joined: Feb 2015
Posts: 629
Milano, Italy
M
MatPed Online OP
User
MatPed  Online OP
User
M

Joined: Feb 2015
Posts: 629
Milano, Italy
Thank you for your reply. Can you make an example with few trades as example? This is what I am missing

Last edited by MatPed; 01/29/21 16:21.

Moderated by  Petra 

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