Anomaly between walk forward and normal backtest outcomes
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I ran 2 backtests on the same data optimising the variable xx which was used for a stoploss value, one with walk forward analysis and the other without. The walk forward statistics show the selected variable (xx) as 140 across all test ranges (I could only capture the one as shown in the attachment but all periods show the same value for xx at 140). Looking at the optimisation outcome without walk forward shows the best outcomes with an xx value of 165. The 2 overall outcomes are very different based on which value is selected as shown in the attachments, the walk forward one being considerably worse, surely at least one of the test periods in walk forward analysis should have selected a value of 165 ?
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5 years, 10 months ago.
Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 04/07/2020 |
| Status: | Active |
| Attachments: | 4 files |
