Hello NT team,
Attached chart #1 is an out-of-sample test of a walk-forward analysis of a moving average crossovers strategy. As you can see there is no crossover, however there are 3 trades. Important: The chart displays the beginning of the test period.
Attached chart #2 is the same strategy and the same parameter values, but this time is a manual backtest over a longer timeframe. The indicators are calculated with more data and they are shown differently. As you can see the trades are the same (check the prices) and this time the data is coherent.
Conclusion: The indicators displayed in walk-forward analysis charts are not those used in strategy calculations. Therefore they are wrong.
Regards.
Attached chart #1 is an out-of-sample test of a walk-forward analysis of a moving average crossovers strategy. As you can see there is no crossover, however there are 3 trades. Important: The chart displays the beginning of the test period.
Attached chart #2 is the same strategy and the same parameter values, but this time is a manual backtest over a longer timeframe. The indicators are calculated with more data and they are shown differently. As you can see the trades are the same (check the prices) and this time the data is coherent.
Conclusion: The indicators displayed in walk-forward analysis charts are not those used in strategy calculations. Therefore they are wrong.
Regards.
Attached Files
Comment