Walk forward indicator warming up

Hi team,



There is a problem with the walk forward testing in that the "Reserved Bars" period dedicated to warm-up the indicators is applied from the OOS bars and not from the last bars of the IS part of the WF step.
With the current behaviour, the WF results are not correct or relevant, especially when using higher timeframes.
The desired behaviour:  The Reserved Bars period should be part of the IS period, so in the OOS period trading starts immediately.
The walk-forward type was configured as "Exact IS/Exact OOS" -- Could not find exact docs on what these mean, but they seemed to be the most accurate.


I attach a picture with a walk forward ran on the D1 timeframe, where one can clearly see that there is no trading at the beginning of each walk forward step.



Attachments
Screenshot 2022-11-18 at 152451.png
(365.21 KiB)
  • Votes +7
  • Project StrategyQuant X
  • Type Bug
  • Status New
  • Priority Normal

History

JB
#1

0xjoeblack@proton.me

22.11.2022 11:28

Task created

JB
#2

0xjoeblack@proton.me

22.11.2022 11:28
Voted for this task.
k
#3

Karish

22.11.2022 12:25
Voted for this task.
AS
#4

andreis

22.11.2022 16:58
Voted for this task.
AS
#5

andreis

22.11.2022 17:07
This looks like a significant bug of WalkForward functionality, as it covers some of the test data preventing accurate evaluation of behaviour during WF.
E
#6

Emmanuel

22.11.2022 17:23
Voted for this task.
KB
#7

kbtech

22.11.2022 18:41
Voted for this task.
HF
#8

Vence_Jo

22.11.2022 20:05
Voted for this task.
b
#9

bentra

22.11.2022 21:52
Voted for this task.

Votes: +7

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