And this is not the ONLY issue with WFO. This just blew me away! So as not to muddy the already muddy waters, if you use "Instrument settings" for ES with a 4:1 Opt/Period:Test/Period, not only will WFO include the weekend days, it also includes the TestPeriod day in the Opt/Period and the results are always REALLY GOOD! This is because WFO does not recognize days of the week. The Instrument settings for ES uses CME US Index Futures ETH, which includes 2 "DAYS" of trading, 5pm from the previous day until 415pm of the trading day. So when you go back and look at the optimization periods trades, sure enough the Test Period trades are there as well. You can see them right on the chart with the test period date at the top.
I would say, "what a joke", but it's no joke when your money is envolved.
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