Walk Forward Optimizer
Author: mjj3
Creation Date: 4/6/2013 12:12 AM
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mjj3

#1
I started working on a walk forward optimizer. I read the API document for optimizers. I'm struggling with the following:

a) how do you recommend I create the loop that steps through parameters and [x] bars of history? It's not clear how I would do this in the FirstRun / NextRun method as it only accepts parameter variables.

b) Not sure how i can handle multiple results after each step of the WFO.

Is it better to write something external to the entire optimization process?
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Eugene

#2
a) The only thing that might work is altering the Bars object in NextRun for the next optimization run. You would want to call the Add/Delete methods of the Bars object, or use Bars.LoadFromFile (faster).
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mjj3

#3
ok let me give it a shot.