I was asking myself if I should include the profit/loss incurred from interest in forex when evaluating the results of a WFA.

When evaluating the results of a recurring WFA I am trying to select the "best" set of parameters for the system to trade during the next "period".

The results of the WFA without taking into consideration the interest profit/loss represent the "real" influence that the parameters of the system have (interest rates are not a parameter in the system!).

On the other hand, the real life profit/loss I will incur includes interest profit/loss…

Murray, can you give us you point of view in this matter?

Thank you

Mario Roter

First , it depends on the system holding period. The length of the backtest period. I would really try it both ways and see how the parameters change over time.

My guess is you want to include because if interest rate differential change the walk forward would handle that, you just want to test and make sure the system works well without interest income.

Thank You Murray,

I'll check both ways but i tend to believe that not including the interest profit/loss is the right way to do it (unless profiting from interest payements is one of the purposes of the system...).