walk-forward testing

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walk-forward testing

Postby michal.kreslik » Fri Jun 23, 2006 4:50 pm

jstockman wrote:Dear TRO,

Thank-you for the statistics not radar code. I am digesting it.

I have a couple of questions.

1. What is walk-forward out of sample testing? And do you use it.


TRO doesn't like backtesting. He trades successfully in a semi-discretionary environment with a set of his renowed indicators and with his smart, experienced traderbrain.

So you should never ever utter words like "backtesting", "walk-forward testing" etc. in front of Avery :lol:

In fact, I am a backtesting type of guy instead :D That's why we are teasing each other with Avery all the time :D

Walk-forward testing is best descibed in Rober Pardo's book "Design, Testing and optimization of Trading Systems". You can find it here:


Very simply put, wall-forward testing is in fact looking at what your strategy would do after it has been optimized and put to the real, live trading.

The basic walk-forward testing is done by assessing the equity curve gradient and other factors compared accross the in-sample and out-of-sample trading period.

Advanced walk-forward methods involve computing the WF efficiency by dividing the averaged WF objective value (for example, netprofit) by the averaged in-sample objective value. The walk-forward may be done in several time windows, each representing a brand new "live" trading outcome.

Read the book I've recommended above and you'll become more versant in the subject.


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BackTesting/Walk-Forward Testing

Postby jstockman » Mon Jun 26, 2006 12:12 am


Thank-you and TRO for your replies. Hopefully I will grow in this environment and can contribute back to the TC.


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