"Forecast" data in Walk Forward Analysis
Posted: Jun 26 2024
Hello everyone,
among the results provided in the report at the end of a Walk Forward Analysis, if you look at the bottom of the report itself you can find a forecast of the parameters to be used in the next real trading session.
I realized that those values are taken considering the last 5 years of the historical data,which is a very long period if compared with a WFA optimization perfomed on a 3:1 or 4:1 IS:OOS ratio on yearly data.
In fact it should be more reasonable to consider the parameters used in the last year if you want to increase the probabilities to adapt your system to current markets.
So why the forecast section has been designed to include the last 5 years of data?
Thanks in advance
among the results provided in the report at the end of a Walk Forward Analysis, if you look at the bottom of the report itself you can find a forecast of the parameters to be used in the next real trading session.
I realized that those values are taken considering the last 5 years of the historical data,which is a very long period if compared with a WFA optimization perfomed on a 3:1 or 4:1 IS:OOS ratio on yearly data.
In fact it should be more reasonable to consider the parameters used in the last year if you want to increase the probabilities to adapt your system to current markets.
So why the forecast section has been designed to include the last 5 years of data?
Thanks in advance