Hello, I am Darwin and today I want to talk about the limitations that walk forward analysis suffers from. This is my 3rd article, so if you do not know how WFA works, please read the other 2 (you can find them here on the forum).

The target audience of this article is everybody that deals with ExpertAdvisors and Backtesting / Walk Forward Analysis

Some of you might already have seen a few posts of me where I talk about some research I do in the fields of Trading System Analysis (in the course of writing a meta-algorithm that can build, analyse and trade strategies on its own). The goal is to write an algortithm that is so powerful that it can take every EA and, due to in-depth analysis, tell you how and when to trade it in order to make profit, no matter how good or bad the underlying EA is

So here is a new article in which I would like to lay down some insights that I could get in the process of writing this algorithm (DATFRA - Darwins Algorithmic Trading Framework)


Well, lets begin. My first concern is that the design of Walk Forward Analysis is, in its nature, unrewarding and not the kind of analysis a trader wants.

Also, I claim that the results of a WFA are more or less random, and if a system works well after a successful WFA, then not because the test was successful, but because the trader designing the system did a good job.

In this article I do not yet want to show how this problems can be solved, I just want to demonstrate that they exist. In my next article I will explain how I think this all can be solved in an elegant way.