Optimised Walk Forward Matrix

Hi Tomas,

 

Question 1

       

I noticed that when we load a strategy for Optimisation under WFM, the Net Profit differs from the one when the initial generation under the “Build Strategies” or “Retest” stage.  Under the Build stage, the Net Profit is positive but under the Optimisation WFM, it could be negative.  Can explain why?

 

Question 2

 

Clarification on the Runs/Validation Concept under OFM.  When there is 5 runs (for example), we are trying to find the optimum parameters in a particular run, assume Run 1. Will the optimised parameters be plough into the next Run (say Run 2) to re-generate another optimum parameters?  

 

Await your reply.

 

Cheers

Hello,

 

The WF matrix result in databank shows us the best Net Profit from all the performed Walk-Forwad optimizations

 

The process being done by WF Matrix is described in more detail on this page https://strategyquant.com/articles/walk%20forward%20matrix 

There is also an example on optimization https://strategyquant.com/articles/walk%20forward%20optimization