Walk forward analysis

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Hi coders.

After running a walk forward analysis, lets say my 'walk forward efficiency ratio' is acceptable.

After that I'll have x-period optimized inputs.

Question: which inputs from which period do I need to consider to run my EA no live account?

Maybe the inputs of the period with the best overall results? Or maybe the inputs of the period with the best 'walk forward efficiency ratio'?

Thank you

 
Daniel Arges:

Hi coders.

After running a walk forward analysis, lets say my 'walk forward efficiency ratio' is acceptable.

After that I'll have x-period optimized inputs.

Question: which inputs from which period do I need to consider to run my EA no live account?

Maybe the inputs of the period with the best overall results? Or maybe the inputs of the period with the best 'walk forward efficiency ratio'?

Thank you


Hi,

it depends on your trading style, 

Short-tem or longer term (Swing), and so on

and technical indicators you want to use.

Good luck (^̮^

 
Daniel Arges:

Hi coders.

After running a walk forward analysis, lets say my 'walk forward efficiency ratio' is acceptable.

After that I'll have x-period optimized inputs.

Question: which inputs from which period do I need to consider to run my EA no live account?

Maybe the inputs of the period with the best overall results? Or maybe the inputs of the period with the best 'walk forward efficiency ratio'?

Thank you


WF supposes that you optimize inputs on every "last known" window (period) for trading on next forward "step". So, if your EA performed well on several WF steps in the past, you should run it in the same manner - optimize on latest available "window" (period) and use obtained inputs for trading until time is come for the next re-optimization.

 
Stanislav Korotky:

WF supposes that you optimize inputs on every "last known" window (period) for trading on next forward "step". So, if your EA performed well on several WF steps in the past, you should run it in the same manner - optimize on latest available "window" (period) and use obtained inputs for trading until time is come for the next re-optimization.


Got it. Tks

 
Daniel Arges #:

Got it. Tks

Happy New Year! I have a quick question about Forward optimization, for example if I run complete optimization including Forward optimization 1/2 for the period of 2022.01.01 until 01.01.2023.. system will do normal optimization from 2022.01.01 until 2022.06.31 based on historical data, and then will use the most robust settings to do forward optimization from 2022.07.01 until 01.01.2023 is my understanding correct? if yes, after both optimizations are complete and I decide to go live with my EA, which settings should I use? the ones i got from normal optimization or forward optimization? and when is the next time in the future I need to run optimization again, end of 2023? Thanks 
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