Walk foward Optimisation - Exhaustive

Hi All,

I wonder if anyone could assist on the matter of walkforward optimisation.

I have used walkforward optimisation - exhaustive for optimising a moving average rule with IS of 250 and OOS 25. The report is generated and then I take the first line which shows the best optimised setting (40 days - 80 days) for the first 250 bars or at least I think this is the case. However when I use exhaustive optimisation for the same period of 250 days without walkforward option I am getting other settings which are producing higher profits relative to the best optimised rule under walkforward. This has lead me to conclude that the walkforward optimisation does not pick the best optimised rule and display on the report. Alternatively this may be the settings under walk forward optimisation which is causing this. Is there anyway that I can change this so that the optimisation report and the walkforward optimisation report would produce the same result for a given period.

I would appreciate if anyone can assist and clarify the above.

Many thanks for your help.

Best regards,

XIKON

I have used walkforward optimisation - exhaustive for optimising a moving average rule with IS of 250 and OOS 25. The report is generated and then I take the first line which shows the best optimised setting (40 days - 80 days) for the first 250 bars or at least I think this is the case. However when I use exhaustive optimisation for the same period of 250 days without walkforward option I am getting other settings which are producing higher profits relative to the best optimised rule under walkforward. This has lead me to conclude that the walkforward optimisation does not pick the best optimised rule and display on the report.

A WFO should indeed equal the results of a regular optimization, with the exact same settings and time period.

What might happen, but I'm not sure about this, is that with the best WFO result over 80 bars, there is a minimum number of required bars of for example 20, so the WFO starts actually calculating on bar 21 till 101, and reports that result as "the first 80 bars".

Xikon, please make sure that you are running the exhaustive optimization with the same max bars back setting and on the same data interval as the IS and OOS parameters for WFO optimization. In this case the optimization results are equal.