Walk Forward Optimisation Metrics
Snippets designed for better evaluation of WFO process. Idea behind this you can find in this series: Algorithmic Backtesting & Optimization for Alphas
I will add blog post soon.
How to use in SQX:
- extract it to C:\SQX\user\extend\Snippets\SQ\Columns\Databanks
- restart SQX
- add in databank columns when optimize strategies