How to set up WFO for time periods (e.g. OOS = 2 quarters)?

Author: shuras

Creation Date: 10/12/2017 2:07 PM

Wealth Lab » Wealth-Lab Developer/Pro » How to set up WFO for time periods (e.g. OOS = 2 quarters)?

shuras

10/12/2017 2:07 PM

Hi all,
I've a question about how WFO does work.
For example, I need to setup a test with IS exactly 4 years and OOS exactly 2 quarters. And how I can to calculate
"Number of Walk-Forward Intervals" and "Out-of-Sample Data %"?

Does it khown something about how WFO setting up ISs and OOSs based on is settings?

Thank you.

Eugene

10/12/2017 2:27 PM

Hi,

QUOTE:
For example, I need to setup a test with IS exactly 4 years and OOS exactly 2 quarters

This was discussed on the forum before: Thank you for the WFO Optimizer (Walk Forward) . Quoting post #49:

Currently, the selection of the IS and OOS periods are rudimentary by bar count. Developing a [different] GUI is a big deal, and I just don't want you to get your hopes up about something like that. Changing a calculation is a much easier task, so let's see if we can even get that first.

As this behavior is not subject to change, in post #58 you might find a workaround (no promises that it would suit your needs).

QUOTE:
Does it khown something about how WFO setting up ISs and OOSs based on is settings?

Like I suggested in the closed ticket, consider the User Guide as your starting point. Namely Strategy Window > Optimization > Walk-Forward Optimization. Also, the forum thread above has answers to many typical questions like yours.