WFA OOS into QA
Please make it possible to somehow export/save strategy results from OOS period of a WFA run in order to be able to import it and use it in QA. For example for correlation tests of WFA based strategies in their WFA OOS period (thus NOT the main equity with fixed parameter settings).
At this moment in time checking for correlation of WFA strategies is very difficult and requires a lot of additional external coding and manual handling.
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Votes +1
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Project StrategyQuant X
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Type Feature
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Status Archived
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Priority Normal
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Assignee None
History
Kc
Kc
Kc
coensio
26.11.2019 10:50Addition for later: Ideally also with an option to auto-generate a WFA-level source code, by automatically adding optimized parameters per optimization period into the strategy source code. The resulting WFA strategy source-code would need to have something similar to this pseudo-code:
IF CurrentDateTime >= WfaOOS1StartDateTime AND CurrentDateTime <= WfaOOS1EndDateTime THEN:
Param1=A
Param2=B
Param3=C
...
IF CurrentDateTime >= WfaOOS2StartDateTime AND CurrentDateTime <= WfaOOS2EndDateTime THEN:
Param1=C
Param2=A
Param3=B
...
IF CurrentDateTime >= WfaOOS3StartDateTime AND CurrentDateTime <= WfaOOS3EndDateTime THEN:
Param1=A
Param2=A
Param3=C
...
etc...etc...
I hope the idea is clear.
MF
Votes: +1
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