As a companion to optimization plug-ins, I think it
would be lovely if
a plug-in interface to AB's walk-forward evaluation could someday be
made available.
One key point of expansion (IMO) would be not having IS and OOS
periods limited to same-sized time slices, but instead allow the
periods to be defined in different ways (either statically or
dynamically).
Consider that the primary goal of WFO is to generate a desirable set
of parameters to come into force today (or tomorrow), these parameters
intended for operational use for some period into the future.
So, our primary choices as dynamic traders are:
a) Should I today stop using the parameters I've been using and
generate new ones?
b) If so, how much past data do I want to use at this time as source
data for the generation of my next parameter set?
Both a) the circumstances under which we wish to choose today as a day
for doing a parameter regeneration, and b) the period over which we
wish to analyze data for today's parameter regeneration, are arguably
(maybe even obviously!) best determined by considerations/calculations
other than arbitrary equal calendar time slices.
We would want to have access to normal market TA information to make
such decisions, but also we would want to have access to full
performance stats (trade lists, etc.) of the system most recently
running (and possibly some set of alternatives as well).
TJ could speak to whether AFL or Plug-Ins would be the best approach
to this, or whether capabilities at both levels might be appropriate.
With so much already planned by TJ for AB's future, I can't suggest
this as anything other than a long term "to be considered" idea. But
I do think it would be worth the consideration.