March 2017
Beginner
284 pages
5h 32m
English
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Walk forward testing
Walk forward testing is used in quant finance for identifying the best parameters to be used in a trading strategy. The trading strategy is optimized on a subset of sample data for a specific time window. The rest of the unused data is kept separate for testing purposes. The testing is done on a small window of unused data with the recorded results. Now, the training window is shifted forward to include the testing window and the process is repeated again and again till the testing window is not available.
Walk forward optimization is a method used in finance for determining the best parameters to use in a trading strategy. The trading strategy is optimized with in-sample data for a time window in a data series. The remainder ...
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