My opinions aside, I've seen some conflicting information on the WF opt on how it uses periods.
For example's sake, let's say we have two year's worth of end of day data for the optimization (e.g. 1/1/2009-12/31/2010). Let's put the optimization period at 2 months and the out-of-sample period at 1 month.
A couple of questions:
- if i started the optimization from 1/1/2010, not 2009, would the WF use the last two months of 2009 for the opt and the first month of 2010 as the out of sample OR would the WF use the first two months of 2010 for the opt and the 3rd month of out of sample?
- lets assume that we optimized on months 1 &2 and tested on month 3, for this next question. for the next optimization period, does WF use months 2&3 to test on month 4 OR does WF use months 4&5 to test on month 6 OR is it months 3&4 to test on month5?
The first method gives much more feedback on a "real life" scenario where you'd retune at the end of month 3, but the more I'm reading/watching the more I get the sense that it's one of the last two scenarios....which would be a shame as it wastes alot of data that could otherwise be used.
I really appreciate your help in clearing this up for me!
Thank you,
Tim
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