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Walk forward matrix questions

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huangwh88

Customer, bbp_participant, community, 91 replies.

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1 year ago #254928

Hello,

Please help me with the following WFM questions.

1) Under the walk forward matrix settings, under walk forward type, what do floating and fixed mean?

2) What is the difference between simulated and exact walk forward type?

3) Under filtering conditions, if i choose ‘final WF result’ as the result type, does this refer to the complete OOS walk forward backtest? If yes, then what is the significance of choosing Full/IS/OOS sample below? Please see screenshot.

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Thank you so much!

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bentra

Customer, bbp_participant, community, 19 replies.

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1 year ago #254944

1) Under the walk forward matrix settings, under walk forward type, what do floating and fixed mean?

They should probably be named the more popular names: anchored and not anchored.
https://www.multicharts.com/trading-software/index.php/Walk_Forward_Optimization

2) What is the difference between simulated and exact walk forward type?

‘simulated’ saves lots of cpu time by running the entire sample only once per setting iteration and then calculating the smaller time segments would-be-results based on that. I find it fairly accurate and non biased.

3) Under filtering conditions, if i choose ‘final WF result’ as the result type, does this refer to the complete OOS walk forward backtest? If yes, then what is the significance of choosing Full/IS/OOS sample below? Please see screenshot.

Walk forward results have OOS and IS so I think ‘final WF result’ is going to include them both if you choose ‘full’. You should choose ‘OOS’ if you want only OOS.  I haven’t tested this but it should be easy to test.

May all your fits be loose.


https://www.darwinex.com/darwin/SUG.4.2/

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huangwh88

Customer, bbp_participant, community, 91 replies.

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1 year ago #254945

1) Under the walk forward matrix settings, under walk forward type, what do floating and fixed mean?

They should probably be named the more popular names: anchored and not anchored. https://www.multicharts.com/trading-software/index.php/Walk_Forward_Optimization

2) What is the difference between simulated and exact walk forward type?

‘simulated’ saves lots of cpu time by running the entire sample only once per setting iteration and then calculating the smaller time segments would-be-results based on that. I find it fairly accurate and non biased.

3) Under filtering conditions, if i choose ‘final WF result’ as the result type, does this refer to the complete OOS walk forward backtest? If yes, then what is the significance of choosing Full/IS/OOS sample below? Please see screenshot.

Walk forward results have OOS and IS so I think ‘final WF result’ is going to include them both if you choose ‘full’. You should choose ‘OOS’ if you want only OOS. I haven’t tested this but it should be easy to test.

 

Thanks for your help! I will look into testing the last point. Great portfolio by the way.

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