Helping to interpret the WalkForward results
- This topic has 11 replies, 4 voices, and was last updated 3 years ago by
.
-
We have to assume that that WF result was done with a fixed dummy value and all other variable values fixed rather than with optimising values? We also have to assume that you did not develop and fit the strategy to all the available data and then do a WF on all the available data?
1 user thanked author for this post.
Are you suggesting using a dummy variable?
Yes. Fix all the variables and then run the WF with a dummy variable that does nothing in the code. This then gives you an in sample and out of sample WF analysis of your finished strategy. Because it breaks it down into smaller sections of data to test and compare to other small sections of data there is a possibility for the test to see trades that perhaps were not seen in your standard backtest because perhaps you were already on the market. Personally I would develop the original strategy on only part of our back data then run it on the bit I didn’t develop it on. If it works the same or similar then a WF with a fixed dummy value would be the next test.
The WF done with variables optimising is a way for you to test and see if your strategy worked best with a single value of close range of values. Personally I rarely use it except perhaps just to check out one variable and see how import its value actually is.
Generally these days I don’t use the WF tool as I prefer running my strategies using my SEB testing idea which tells me a lot more about how curve fitted they are.
1 user thanked author for this post.
Find exclusive trading pro-tools on 
