A reader, Z.S has a question on WFA. His question and my response follows: I struggling with WFO similarly to you in your article: https://beyondbacktesting.com/2017/02/09/wfa-failure-scenario/ Despite the fact WFO should bring verification to the development process it rather yields more uncertainty. Simply changing WFO insample and outsample periods or fitness functions the outsample changes wildly, […]
Continue readingBacktesting has many inherent limitations. The chief among them is that backtesting can only eliminate systems that did not work in the past. In fact, it cannot even do that fully. It can only eliminate a specific form of proposition which is based on the form of “Doing X was profitable in the past and […]
Continue readingFor the new and beginning developer, one problem you might encounter is not having enough capital to run more then a few systems. This can lead one not to work on their system development as much as they could. It is my belief that all market movements are the result of market cognition. Market cognition […]
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