Walk Forward Optimization - Can we have this too? by Uncle bob

Uncle bob

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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.

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Uncle bob

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Jared Broad

It shouldn't be too hard once we're launched the optimization features. Will keep it in mind for the planning. If you have other feature requests please file them in github - https://github.com/QuantConnect/Lean/issues

Mark Jonhston

23 ,

any updates on walk forward, or are there any optimization features releases?

thanks

Anne-Mirthe Stam

328 ,

And, another update check :) ?

Adam Brodzinski

163 ,

Also curious on the status. It would definitely be something worth paying more for!

James Smith

2.4k ,

Anyone following the other thread concerning optimization will know, if you can run your backtests through Lean rather than the QC terminal, there is now a genetic optimizer available here:

https://github.com/jameschch/LeanOptimization

This has fairly rudimentary features and requires some effort to get started, but at this stage is quite stable and is being actively supported.

If you're interested in walk forward optimization, this is currently being alpha tested in this pre-release branch:

https://github.com/jameschch/LeanOptimization/tree/batcher

Please feel free to clone these branches, try to get it running and provide feedback. Any features requests and bug reports will be greatly appreciated.

Uncle bob

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