Why does the ANN returns seem to always appear with a much lower value on the Best Models and Settings report compared to the actual chart?
Optimization results are the results of a simple back test, i.e. you look at how a certain model would have performed backward in the time with some parameters. It is easy to find good parameter values for a period afterward, just as it is easy to realize how you should have traded a stock afterward. The goal of optimization is to find optimal parameters, not to give an estimation of future returns. Return values in the Best Models and Settings report are an unbiased and more realistic indication of a model’s strength with the current price behaviour.
