Bonjour,
I am a french newcomer near Paris.
I am searching since a long time a good algorithm to improve my retirement.
Till now I have been using Amibroker mainly thru rotational trading. ETF being my favorite value.
I discovered recently pair trading and yr system.
It seems probably to be an interesting, efficient and elegant approach.
I am discovering and testing yr system before becoming "Premium".
I get interesting backtests, i need your lights to go further :
1/ Walk Forward : i did not find any parameters for automatic walk-forward : "In sample" and "Out of sample". Instead yr proposal is a plain 4 years and half backtest... For the time being i tried 1 year and 6 months in sample and 6 weeks to 2 months Out of sample.
By proposing a manual and long 4 and half years of in-sample you seem to advocate a long time mean value instead of adaptive which sticks to the market conditions
2/ Optimization : it is done manualy a priori thru a choice of moving averages and Kalmann.
3/ In the trade log i find often "Timeout". That means the trade could not be done. i get often a big loss. How to avoid them ?
Regards
Claude
