Walk Forward testing can generate statistical information when the "Walk Forward Stats" blox module is included in a Walk Forward Suite test.  Walk Forward is a process that enables a series of test period segments to optimize parameters setup in a stepped test.  If you are not familiar with Walk Forward Optimization testing, read: Using Walk Forward.

 

Walk Forward Optimization Period Global Parameters:

To enable a Walk Forward System optimization test, Trading Blox first check the Global Parameter to be sure the length of test and period of Out of Sample (OOS) days to include in a walk forwarding process are the walk forward optimization period needed.

Global Parameter Walk Forward Method Control.

Global Parameter Walk Forward Method Control.

Global Parameter:

Description:

Walk Forward

Walk Forward parameter is a process for enabling a series of test period segments for the purposes of optimizing the value of one or more parameters.

Walk Forward OOS (days)

Sets the number of calendar days used for the Walk Forward out of sample process when running a Walk Forward test.

Walk Forward Goodness

Enter a single statistic to use as the measure of goodness for the optimization runs. Custom statistics added with test.AddStatistic can be used as well. Example: "MAR" or "Sharpe" or "MyStatistic".

 

Links:

Global Suite Parameters, Preferences Editor, Systems Editor

 


Edit Time: 9/20/2017 07:56:22 AM


Topic ID#: 235

 

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