QuoteDislikedDarwin do you know the genetic alogorithms? I think that's the way you're taking
Sure I do, and because my tool uses the Metatrader4-optimisation engine (which uses genetic algorithms), it is already in my tool.
Tough, there is the need for custom optimisation-algorithms that are not just able to optimise parameters but also the logic and other stuff, so it is not the end of the road.
Also, I started my journey into algo-trading with genetic programming algorithms that were able to generate EAs from scratch, but soon found out that the generation of EAs is an easy task, but the evaluation of them is the hard part.
So I came to WFA somewhen
QuoteDislikedWhere do you find 100.000 independent samples? as soon as your training windows overlap their are no more independent.
Ok, lets say "more or less independent", as they overlapp of course. Nevertheless, they are also not the same, just overlapping to some degree.
Well, back to my initial post, you see how to get 100 samples, right?
Now, if you do not just analyse the "very best" candidate after every optimisation but the 1000 best, you suddenly have 100.000 samples.
If you then reduce the test-window to the smallest possible value, 1 trade, and an EA made like 1000 trades in the evaluated timespan, you can easily get 1.000.000 samples for analysis.
Which is quite good compared to the 1 sample a normal backtest+oos-test can give you
-Darwin