Walk Forward Analysis - the only logical successor to backtesting [DISCUSS]

Hello,

I'm Darwin and this is my second article in which I will try to explain how a walk-forward-analysis works and what benefits it brings you as an EA trader.

But I do not just want to explain how a walk-forward-analysis works (as others already did this), no, I want to explain why it is the only logical way to analyse EAs.

And as people keep asking why I release free stuff, let me explain my motivations: I am targeting a job in the trading-economy, and this is not easy to get. Beeing known in the community would help me a lot to accomplish this goal, so I decided to release some of my private tools for free and/or open source to make myself a name over the next months. I am not here to sell you stuff, keep that in mind, please!

hey D

so basically you are proposing traders test strategies real time .......no arguments there

N

Hey N :P

Well, it is not about testing strategies real time, it is about testing strategies on the past after all. But just in a way that is the same as testing it real time

-Darwin

I can't say I disagree.
By highlighting the weaknesses of optimised backtesting - namely curve fitting,
you are making a very valid point, as it is a trap that most trying this will inevitably fall into.

Personally I'm not a fan of any automated optimisation full stop.
For me, I used all the data I had for backtesting to increase the sample size.
Parameters kept to a minimum and optimisation was along the lines
of Ed Seykota's hunt and peck style.
I also opted for using all of the data to backtest based on Eckhardts thinking
regarding wasting data on OOS testing and degrees of freedom:
http://www.futuresmag.com/2011/03/04...d-curvefitting
Throw in influences from David Harding and Taleb for good measure.