Finding the best optimisation period via walk forward

Viewing 3 posts - 1 through 3 (of 3 total)

Author

Posts
09/24/2021 at 8:57 AM #178271 quote

egyptiantrader
Participant

Junior

Hello everyone.

I’ve been testing an algo with walk forward and I’m happy with the results. The variables will need to be refreshed every so often but I’m struggling to find the best timeframe to rerun the optimisation.

What is the best method for finding how often I need to optimise please?

I’m testing 5m timeframe back 1 year, should I change the iterations or how far back the test goes. Each test can take 10 mins so trial and error is taking ages.

Thanks.

09/24/2021 at 1:02 PM #178299 quote

Nicolas
Keymaster

Master

egyptiantrader wrote:

What is the best method for finding how often I need to optimise please?

Depends of the results you have in your OOS periods.

Example, if you are optimizing one year with 4 IS+OOS periods through, each IS+OOS period would represent 3 months.

If you are happy with the result, then:

-> if your IS is 70%, then you should re-optimize each 2.1 months to trade the strategy 0.9 months

If not, try to change the iteration quantity and so on…

egyptiantrader thanked this post

09/24/2021 at 1:11 PM #178300 quote

egyptiantrader
Participant

Junior

Thanks. I had it set to 5 iterations and each OOS represented about 6 weeks. So I should check it every 6 weeks then? This is what I thought but good to have it confirmed.
Author

Posts

Viewing 3 posts - 1 through 3 (of 3 total)

You must be logged in to reply to this topic.

Login your account

Finding the best optimisation period via walk forward

ProOrder: Automated Strategies & Backtesting

New Reply

Author

egyptiantrader @egyptiantrader Participant

Summary

This topic contains 2 replies,
has 2 voices, and was last updated by egyptiantrader
4 years, 5 months ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	09/24/2021
Status:	Active
Attachments:	No files

Loading...