Changes

Jump to navigation Jump to search

Walk Forward Optimization

27 bytes added, 16:42, 24 October 2018
To use Walk Forward Optimization:
# :1. Open the '''Format Objects''' window.<br><span>{{FormatObjectIS}}</span># :2. Select the '''Signals''' tab and select the signal in the box.# :3. Click the '''Optimize''' button. The '''Optimization Settings''' window will appear.# :4. Select the optimizable inputs and optimization method – exhaustive or genetic (both will work with '''Walk Forward Optimization'''.) Please refer to [[Performing_Optimization]] for more information. # :5. Click '''Next''', and the '''Set Walk-Forward Parameters''' section will appear.# :6. There are two possible types of segmentation for Walk-Forward Optimization: by number of runs and by time span. Select the desired one in the '''Segments Type''' section.# :7. If '''Number of Runs''' is selected:<br>
Enter the number of runs into the '''Number of Runs:''' textbox.
<br>Enter the percentage number for the OOS portion of a segment into the '''OOS, % of first Run:''' textbox.
<br>When '''Number of Runs''' is selected, the segmentation is always performed according to bars.
# :8. If '''Time Span''' is selected:<br>
Enter the number of bars/days for the IS portion of a segment into the '''IS''' textbox.<br>
Enter the number for the OOS portion of a segment into the '''OOS''' textbox. The number can be expressed as a percentage, if '''% of the first Run''' is selected in the next dropdown list, or in bars/days, if '''same as IS''' is selected there.
# :9. Check the '''Anchored''' checkbox to use anchoring. Uncheck the '''Anchored''' checkbox to not use anchoring.# :10. Click the '''Next''' button.# :11. In the '''Set Robustness Settings''' section set up the criteria according to which the robustness of the strategy will be estimated. For more information about Strategy Robustness click on '''What is Robustness?''' link.# :12. Click '''Analyze N Combinations''' to run Walk-Forward Analysis and generate the Walk-Forward Optimization Report.
<br>
[[Category:Optimization]]

Navigation menu