Topic: Walk Forward Internals Explained
I have been using the walk forward optimisation over the weekend and i have a couple of questions:
1. In the stats it has 3 columns 1. Original 2. Before Op. 3. After Op.
Can you tell me the difference between the original and before optimisation. Arent they the same thing? Obviously they arent because they have different results but I dont understand. we load the starategy in and then it optimises?
2. When using the reactor does EA Studio look at the WFO acceptance criteria? Or does it it only look at common Acceptance Criteria (if the box is ticked). So if we do not have the CAC box ticked are we not looking at any validation criteria?
3. Im still trying to wrap my head around how it deems a strategy 'better'. For example see attached screen shot. In this example ive set the Search Best to R-Squared. The strategy has a better R squared in all OOS periods than Original strategy and Before Optimisation however it tells me it is not better at all?
4. When you are looking at the equity graph as the optimiser is running as each segment is plotted is this the result of the optimisation on just that segement of IS data? If so how come when you look at the parametres tab and view the equity graph 'Full backtest with last parameters' it looks exactly the same as the plotted graph in the Equity Tab page?
5. Just to clear things up does the WFO operate like this:
1: Optimise from first segment of IS data.
2. Test over first segment of OOS data. and carry over the resulting indicator parametres to the next segment of IS to be optimised again.
3. Optimise over second segment of IS data etc etc
Until 4: Optimise on last segment of IS then show the resulting indicator parametres over the entire data range of OOS.