So how do I run WF without optimization?
You don’t,
- You optimise over In Sample (IS) period … say the 1st 70k bars of the 100k bars available to us.
- Then you Walk Forward over Out of Sample (OOS) period of the remaining most recent 30K bars with variables set to optimisation.
If all variables result in the same value for OOS as they did for overall IS … then Bingo (maybe! :)) … as Vonasi described above.
