walk-forward test

Walk forward testing allows us to develop a trading system while maintaining a reasonable ‘degree of freedom’. Walk-forward testing carries the idea of ‘out-of-sample’ testing to the next level. It is a specific application of a technique known as Cross-validation. It means to take a segment of your data to optimize a system, and another segment of data to validate. Hence, here you optimize a window of data say past 1000 bars, and then test it on next 200 bars. Then roll the whole thing forward 200 bars and repeat the process. This gives you a large out of sample period and allows you to see how stable the system is over time.

Suppose you consider a strategy around a moving average. You take the first 3 months of data, and find that for that period a 20-minute moving average was optimal (using tick data). You then validate this rule by assessing its performance for the 4th month (i.e. profit, reward/risk or any other statistic of interest). Next, you repeat the optimization using data from month 2-4, and validate using month 5, and keep repeating this until you've reached the end of the data. The performance you get for the validation months (4-13) are your out-of-sample performance; 

这种方法就是交叉验证中的一种特例；按时间来切割；其效果更稳定，我视之为集成模型中的一种；