Walk Forward freezes after first rep

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01/02/2020 at 12:14 PM #115751 quote

nonetheless
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GraHal wrote:

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.

So it’s just done by manually selecting different time periods?

01/02/2020 at 12:29 PM #115753 quote

GraHal
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nonetheless wrote:

So it’s just done by manually selecting different time periods?

Yes that is part of it and also using the Walk Forward settings etc … which I know you understand as you had set for 70% IS and 30% OOS periods.

Another way I do it (for speed) I optimise over 10K bars (or 50K bars for example ) and then run the System over the full 100k bars to see if the results are a disaster or acceptable.

This above method is ‘rough and ready‘ 🙂 but does not require use of the Walk Forward engine at all. I find proper WF so tediously slow it puts me off using it!

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01/02/2020 at 12:40 PM #115755 quote

GraHal
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GraHal wrote

then run the System over the full 100k bars

Above would be with no optimisation running during my OOS rough and ready test

01/02/2020 at 1:00 PM #115757 quote

nonetheless
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Alright, got it!

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Walk Forward freezes after first rep

ProOrder: Automated Strategies & Backtesting

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This topic contains 18 replies,
has 4 voices, and was last updated by nonetheless
6 years, 1 month ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	01/01/2020
Status:	Active
Attachments:	4 files

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