Importance of WalkForward Analysis???

• 09/01/2021 at 7:00 AM #176557
  phanz

  Hi all,

  While I have read the danger of over optimization, my understanding is that if your system is not optimized then it is likely to be more robust, and perhaps also more objective as you use the same criteria to study different market.  So let say I have decided not to do optimization and try to test the system as original.

  Then again  I read the importance of WalkForward analysis.  My understanding is WalkForward analysis is something like optimization also.  So if I have decided not to do any optimization, does that mean WalkForward analysis is not important in this case?

  What are your thoughts and advice?

  Thank you for your time and have a splendid day ahead.

  

  phanz

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  09/01/2021 at 7:18 AM #176558
  GraHal

  In the ideal world (doesn’t exist) and you have the holy grail system (doesn’t exist) that has not been optimised but is acceptably profitable on many timeframes and many markets.

  Walk Forward on this holy grail system, would / should show that variable values would give you acceptably profitable results for each of the 5 (or more) WF periods.

  Try it and let us know, better still, show us what you get?

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  phanz

  

  GraHal

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  09/01/2021 at 8:29 AM #176565
  Nicolas

  The Walk Forward analysis IS an optimization, but divided into 2 periods: In-Sample (the optimization period = IS) and Out-Of-Sample (the test period = OOS).

  Example: 

  I decided to optimize my strategy from 1st January to 30th April (4 months of IS period) and test if it was profitable if it was traded in live between 1st May to 30th June (2 months of OOS period).

  It simply let you see if the optimization was relevant for the test period: is the strategy over optimized or not? Of course, there is more to analyze and test with the Walk Forward tool available in ProRealTime.

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  phanz

  

  Nicolas

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