M4RC68

Xiao, In my opinion you have to worry about presenting your setup to make the greatest possible amount of operational situations. This not only concerns to OOS, but the combination IS + OOS. Why? 1) When you define an IS window period, you need to worry about the degrees of freedom for your model optimization. You need to make room for the model to find the best combinations of parameters to the setup´s rules. Thus, for ranges of 200 MA periods ex., you need to consider that the period will comprise your model extension. 2) Once granted an appropriate period, you must remember that the optimizer will (try to) set global maximum to your objective function, specifically for that IS window period. So you're training the model to get the best performance according to that market conditions. You are fitting your model to that market. 3) Once you finished the optimization, you will apply the model on the OOS next window period. And see how it behaves. The better will be the result, the better is the predictive capacity of your model. But you must remember the IS period. When you optimized, which was the IS period kind of market? Trend, range, up, down. And now, in the OOS? The market may be similar or completely different. What counts are the combinations: IS in trend and OOS in range, IS in uptrend and OOS in downtrend, OOS in range and IS in up trend, and so on. The final analysis will be done on the cumulative results of all OOS windows. I use WFA precisely because of the various possible IS+OOS testing combinations and thus manage to evaluate the predictive capacity of the model in many different situations. So I can have more confidence when it comes to operational phase. Another important aspect of the OOS window is the number of operations. It is not recommended to have windows with few operations. In my case its worries me more because the strategy (I prefer setups with high trades number) and less because of the statistics. That's because I consider all the operations of all OOS windows to analyze the possible distributions with MC. That's my opinion. Sorry for my poor english and I hope you understood my point of view. Regards Marcelo