Re: Walk-forward. What is it.

[Bob Fulks <bfulks@xxxxxxxxxxxx>]

At 2:16 PM -0600 7/7/98, 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.
>
>
>> 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.

The concept is to test the system as you might have used it in the past.
Pretend you are at the beginning of 1997. You optimize your system on data
up until that date. Then you use those settings and simulate trading
through the first half of 1997 and see how it would have worked. Then you
reoptimize for all data up to that new date. Then simulate trading up until
the beginning of 1998, etc.

You are in effect pretending that you started all this at the beginning of
1997 with no knowledge of the future. The dates are arbitrary in the above
example.

Bob Fulks