Walk-forward - Trading Software

Walk-forward

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Barbecue
2016-03-24 19:37:27

Hi,
is there an article that explains how to use walk-forward optimization in QS ? I couldn't find it.

Also, is there a way to combine AI Optimizations with walk-forward ?

Thanks !

QuantShare
2016-03-25 05:48:47

You can find many articles on the web on how the walk-forward optimization works. It doesn't work with AI Optimizations.

Barbecue
2016-03-25 10:01:21

I'm familiar with the concept of walk-forward testing. It's not clear to me how to use it in QS.
If I want to test a time period from 1995 to 2015, using the usual 80/20 distribution, not anchoring the initial date, how do I do this in QS ? What is Step period ? Use today ?

Could you please illustrate with an example ?

Thanks,

QuantShare
2016-03-28 04:19:28

When you click on the Walk forward, all you have to do is select the start/end period and the step period for the in-sample tests and the out-of-sample period. There is a tooltip that appears when you click on the "Step Period" input box. The step period is used to move the start/end period. On the right you can see the different in-sample and out-of-sample periods that results from your settings.

https://en.wikipedia.org/wiki/Walk_forward_optimization

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