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Walk Forward Optimization is an optimization process that addresses the issue of curve fitting in strategy development.
Walk Forward Optimization segregates the data series into multiple segments, and each segment is divided into an in-sample (IS) portion and an out-of-sample (OOS) portion.
Parameter optimization for the strategy is performed using the IS portion of the first segment. The same parameters are then used to back test the strategy on the OOS portion of the same segment. The process is repeated for the remaining segments.
The OOS performance results from each of the segments are considered "real" instead of "curve-fit" because the parameters that produced the OOS results were generated from IS data.
Jared Broad
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Mark Jonhston
Non Compete
Sorry to bring up an old thread, but was walk forward optimization added? Is there way to make your own optimizer in python or only through contributing to the git repo? Thanks!
Jared Broad
Officially scheduled for 2023. We're currently cranking through bugs but will hopefully get to features soon.
We're hiring for LEAN C#/C++ Engineer if anyone is interested in doing this full-time!
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Garrett Grow
Wow! We're get walk-forward this year. I can't wait!Â
Uncle bob
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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