And a strategy is the better the more walk-forward repetitions you can have without great variation in the best parameters. Let’s assume for example, some moving average shows an optimized value of 30 periods over the whole 200.000 bars, and a range from 20-41 that gives positive results. In a walk-forward analysis, this parameter shows best values between 27-33 periods for 5 WF repetitions and best values between 25-35 for 20 repetitions. When also most out-of-sample periods give positive results, it would probably mean that the strategy is quite robust with regard to the period number of this moving average.
On the other hand, when 30 periods as the optimized period value over 200.000 bars already show insular character, that is : most strategy results are bad, but only period values between 28 and 32 give positive results, a walk-forward analysis will most likely yield jumping period values such as 7, 39, 21, 27, 52. This will mean that the period parameter of this moving average is not useful even when back-tested, curve-fitted and optimized and you should not use it in the strategy. Or do something to make it behave in a more stable manner.
