Hi!

Originally Posted By: jcl
It depends on the degrees of freedom - the number of free parameters - of your system. As a rule of thumb, you should have more than 30, preferably about 100 trades per degree of freedom for a result of significance.


Would be deeply grateful if you could explain that with an example. I looked it up in Trading Systems by Tomasini and Jaekle. But I'm not sure if I got it right.

And since the WFO-window is a couple of years shorter, there will be a lot less trade. I guess this is "normal, but how does the minimum requirment looks for WFO?

Also, do you think it's wise to keep number of trades above a ceratin level per year. Let's say 10? A moving average crossover-system doesn't give too many signals per year, what I can tell.



Thanks

Last edited by ibra; 01/21/14 10:43.