Importance of WalkForward Analysis???

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

    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.

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

    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?

    phanz and thanked this post
    09/01/2021 at 8:29 AM #176565 quote
    Nicolas
    Keymaster
    Master

    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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Importance of WalkForward Analysis???


ProOrder: Automated Strategies & Backtesting

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phanz @phanz Participant
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This topic contains 2 replies,
has 3 voices, and was last updated by Nicolas
4 years, 5 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 09/01/2021
Status: Active
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