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Question about Walk Forward Optimization

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thanitp

Customer, bbp_participant, community, 9 replies.

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5 years ago #114925

Hello,

 

What is a real difference between “simulated” and “exact” for walk forward? Intuitively, we would choose exact but it takes much longer time to finish. On the other hand, I don’t want to feel too good with something that may not be close to the reality. I just can’t find a clear definition somewhere else so I need to ask here.

 

Knowing this will help decide how many parameters I would want to optimize. In many cases, the number of parameters is not just one or two. If you tend to be a perfectionist, then this will end up in several variables that would take forever if you choose “exact”.

 

Thanks for any thoughts.

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tomas262

Administrator, sq-ultimate, 684 replies.

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5 years ago #136052

Hello,

 

Simulated WF is a faster mode that doesn’t run full complete walk forward analysis for every WF combination, but runs the genetic optimization only once and then “simulates” the results for different WF combinations. It is much faster but precise enough to be used normally instead of Exact method.

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