Hi,

Just wonder whether we need to include the TMF in WFO training or not. I have been testing using the TMF (a modified TrailingStopLong from the menu) in a modified workshop 5 implementation. After train without TMF enabled, I can get the following result:
Code:
Monte Carlo Analysis... Median AR 103%
Profit 3803$  MI 46$  DD 461$  Capital 643$
Trades 690  Win 65.9%  Avg +66.8p  Bars 86
AR 85%  PF 1.99  SR 1.19  UI 4%  R2 0.79


Then test again using optimized parameters and with TMF enabled:
Code:
Monte Carlo Analysis... Median AR 115%
Profit 4109$  MI 49$  DD 450$  Capital 636$
Trades 690  Win 67.2%  Avg +72.3p  Bars 92
AR 93%  PF 2.14  SR 1.20  UI 3%  R2 0.86


But if I trained with TMF enabled, then I get this:
Code:
Monte Carlo Analysis... Median AR 88%
Profit 3572$  MI 43$  DD 793$  Capital 822$
Trades 651  Win 62.4%  Avg +65.7p  Bars 95
AR 63%  PF 2.02  SR 0.97  UI 6%  R2 0.52


It seems when trained with TMF enabled, I get a worst result than without. So my question is whether I have done some wrong or we actually need to exclude the TMF during training, but enable it for testing and live trade?

Last edited by jyd; 03/23/17 23:35.