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Ensuring common test period across WFO trials #485871
05/01/22 15:42
05/01/22 15:42
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Zheka Offline OP
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Zheka  Offline OP
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I am trying to select "the best" number of WFO cycles. However, the more WFO cycles - the longer the total OOS Test period; and so performance stats are not directly comparable.

What would be the way to achieve common test period across such trials?

Last edited by Zheka; 05/01/22 15:42.
Re: Ensuring common test period across WFO trials [Re: Zheka] #485876
05/02/22 09:08
05/02/22 09:08
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Petra Offline
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Petra  Offline
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For a fixed period use WFOPeriod instead of NumWFOCycles. For the best number, use the wfoprofile script from the new Zorro version.

Re: Ensuring common test period across WFO trials [Re: Zheka] #485885
05/02/22 13:36
05/02/22 13:36
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Zheka Offline OP
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The problem is that oos Test period depends on NumWFOCycles. So, wfoprofile script compares apples to oranges.

For EndDate=2022 and NumYears=5, with NumWFOCycles=12, the test period starts in 09/2021, with NumWFOCycles=6, it starts in 05/2020.

Calculating a different StartDate depending on NumWFOCycles is probably possible. But is there a simpler/ready solution?

Re: Ensuring common test period across WFO trials [Re: Zheka] #485888
05/03/22 10:49
05/03/22 10:49
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Petra Offline
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Yes, DIAG is 8, so with 15 you have already a diag.txt and should see the broker commands inside. Look for BrokerBuy, BrokerSell etc.

Re: Ensuring common test period across WFO trials [Re: Zheka] #485889
05/03/22 12:38
05/03/22 12:38
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Zheka Offline OP
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Petra, you confused the thread

Re: Ensuring common test period across WFO trials [Re: Zheka] #485890
05/03/22 13:33
05/03/22 13:33
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Petra Offline
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Yes. But this one is for you: The test starts at the start date plus one training period. So for getting always the same test start you only need to determine the training period and then shift the start date by the difference of current and longest training period.

Re: Ensuring common test period across WFO trials [Re: Zheka] #485892
05/03/22 14:19
05/03/22 14:19
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Zheka Offline OP
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Any change in the Start/EndDate in Test vs Train will lead to re-split of data among N WFO periods and application of params to periods they were not trained for, no?

Re: Ensuring common test period across WFO trials [Re: Zheka] #485901
05/04/22 12:52
05/04/22 12:52
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Petra Offline
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Petra  Offline
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Right. After you trained it, leave the dates alone.


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