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Willzy, many thanks for the detailed reply and explanation of your metric.

This gives me plenty to work through.

I have been working through Howard Bandy's book "Quantitative Technical Analysis" and I gather he had quite a lot to do with how Amibroker works under the hood.

My interest is to build a trading method with machine learning algorithms using Python guided by some of Dr Bandy's material.
A few hiccups to overcome due to changes within Python since the book was published in 2015.
There is an errata link at Blue Owl Press but my browser warns the link is unsafe and maybe has been hacked.

You wrote:
"now if during an optimization we had two systems say one buys when RSI < 20 and another that buys RSI <10 if we dont remove the bias due to compounding from the backtests then our walkForward may select the wrong one..."

This bit has me puzzled: do you mean that your method switches from one RSI indicator to a different RSI indicator due to some trigger in the market?

<blockquote data-quote="entropy" data-source="post: 1188444" data-attributes="member: 80915">Willzy, many thanks for the detailed reply and explanation of your metric.This gives me plenty to work through.I have been working through Howard Bandy&#039;s book &quot;Quantitative Technical Analysis&quot; and I gather he had quite a lot to do with how Amibroker works under the hood.My interest is to build a trading method with machine learning algorithms using Python guided by some of Dr Bandy&#039;s material.&nbsp; A few hiccups to overcome due to changes within Python since the book was published in 2015.There is an errata link at Blue Owl Press but my browser warns the link is unsafe and maybe has been hacked.You wrote:&quot;now if during an optimization we had two systems say one buys when RSI &lt; 20 and another that buys RSI &lt;10 if we dont remove the bias due to compounding from the backtests then our walkForward may select the wrong one...&quot;This bit has me puzzled: do you mean that your method switches from one RSI indicator to a different RSI indicator due to some trigger in the market?</blockquote>

[QUOTE="entropy, post: 1188444, member: 80915"] Willzy, many thanks for the detailed reply and explanation of your metric. This gives me plenty to work through. I have been working through Howard Bandy's book "Quantitative Technical Analysis" and I gather he had quite a lot to do with how Amibroker works under the hood. My interest is to build a trading method with machine learning algorithms using Python guided by some of Dr Bandy's material. A few hiccups to overcome due to changes within Python since the book was published in 2015. There is an errata link at Blue Owl Press but my browser warns the link is unsafe and maybe has been hacked. You wrote: "now if during an optimization we had two systems say one buys when RSI < 20 and another that buys RSI <10 if we dont remove the bias due to compounding from the backtests then our walkForward may select the wrong one..." This bit has me puzzled: do you mean that your method switches from one RSI indicator to a different RSI indicator due to some trigger in the market? [/QUOTE]

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