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To All RealTraders:
I have apparently misused the term walk-forward testing, when I should have
said "paper trade" or "simulated trading." All my we site is doing is
taking a purely mechanical trading system that I developed and is now "paper
trading" the signals generated by it for all to see. The system is not
being change or optimized in any way. Please note that I have NOT used
optimization in the development of this system. So I guess I am not
"walk-forward" testing this system, I am just hypothetically trading the
signals it generates to see if it makes money and inviting everyone to
watch. The system lives or dies by it's own merits, but I am not trying to
optimize it. Just paper trading to see if it makes money. Sorry for the
misused term, I did not mean to cause such confusion. Now...let's see what
happens with these paper trades.
All the Best !
Bill Shumake
-----Original Message-----
From: Bill Bancroft <bancroft@xxxxxxxxxxxxxxx>
To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
Date: Tuesday, July 07, 1998 4:02 PM
Subject: Re: Walk-forward. What is it.
>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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