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Walk-forward testing is where one optimizes a system over the most recent
time-period and then uses the parameters generated by the optimization for
the next time period. For example, consider a simple moving average
crossover system. It buys when the price is above the average, and sells
when price is below the average. Let's say we want to use walk-forward
testing to arrive at the length of the average. We would take the last
year's of data and optimize to find out what moving average length was the
most profitable. We would then trade that moving average for this coming
year. At the end of this year (and every future year), we would repeat this
process. So we could be trading a 10-day average in 1998, but in 1999, we
could be trading a 20 day average.
Regards,
Bill Bancroft
BrentinUtahsDixie wrote:
> I have never understood this walk forward stuff and a quick search of the
> web turned up nothing. Would anyone care to elaborate.
>
> Brent
>
> > Walk forward is a hoax and a sad one at that. Walk forward means to
> reoptimize the system on new
> > data as the new data is available.
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