What is the recommended way to apply the results of Wealth-Lab's "Walk-Forward" optimization?
Up until now, I've only used the "Standard" optimization, though I see the importance of "Out-of-Sample" backtesting. But when I finish an optimization, I'm left with many different sets of possible parameter configurations. What is the recommend way to make use of these results in order to pick an individual set of parameters to use in a live WL7 strategy?
Up until now, I've only used the "Standard" optimization, though I see the importance of "Out-of-Sample" backtesting. But when I finish an optimization, I'm left with many different sets of possible parameter configurations. What is the recommend way to make use of these results in order to pick an individual set of parameters to use in a live WL7 strategy?
Rename
You might find this video interesting:
https://m.youtube.com/watch?v=g2okr-GN95w
Especially his “recipe”, described around 4m30s.
Basically, I believe he prescribes:
- Period of optimisation: last 10y;
- Walk-Forward Intervals: 6;
- Out of Sample Data: 25%; and
- Window Type: Sliding.
And this is probably the “reference” In which concerns WFO:
https://www.amazon.com/Evaluation-Optimization-Trading-Strategies/dp/0470128011
https://m.youtube.com/watch?v=g2okr-GN95w
Especially his “recipe”, described around 4m30s.
Basically, I believe he prescribes:
- Period of optimisation: last 10y;
- Walk-Forward Intervals: 6;
- Out of Sample Data: 25%; and
- Window Type: Sliding.
And this is probably the “reference” In which concerns WFO:
https://www.amazon.com/Evaluation-Optimization-Trading-Strategies/dp/0470128011
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