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Walk-forward Testing

Walk-forward testing is an essential tool for creating robust trading systems. What makes walk-forward testing different from other optimization methods is the unique multi-step approach to strategy testing. The idea behind walk-forward testing is illustrated below:



How does walk-forward testing work?

Walk-forward testing combines optimization and backtesting. During the testing, optimal inputs are tested against real market conditions to see how they would perform.

First, the entire data series is broken up into smaller parts. A series of tests is done, and each test is done on a small portion of the whole data series (in-sample data). When optimal input values are found for that small portion, the software checks how they would have performed in the real world by applying them to data that was not part of the test (out-of-sample data). The tests continue to repeat until you have tested the entire data range. In the end, you are shown the results that performed the best under varying market conditions. This helps prevent over-optimization, also known as ‘curve-fitting’.

Different options to suit your needs

Walk-forward testing can be used with both exhaustive and genetic optimization methods. You can specify different sizes for your in-sample and out-of-sample data, and you can even display information in bars or days.

Anchored Mode
There is also a modification to the walk-forward process, called the ‘anchored’ mode. When you select the anchored mode, the in-sample data stays anchored to the beginning and gets longer for each test, instead of jumping forward. This is another way of making sure your results are robust

Export to Excel with one click
The walk-forward testing report can be exported to Excel with just one click. Then you can perform additional analysis on the data you found during the test.

Export to Excel with one click

The walk-forward testing report can be exported to Excel with just one click. Then you can perform additional analysis on the data you found during the test.

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Clients Testimonials
This is an experience of a certain client. Your experience may vary.

The service I receive from your staff at Optimus Futures is exceptional. Being new to trading futures, I needed extra guidence and attention. Even though I have a small account, Chad has been very helpfull and always willing to explain any detail. I have great confidence in your staff. Everyone at Optimuns treats me with the same courtesy and attention that would be expected by any big investor.

Antonio S
Arlington, TX

I really do appreciate what you, Chad, and Jennifer do for me as my broker.

The thing I like most about Optimus Trading is the way that Matt and Chad interact with me as a trader. Their assumption is always that I know what I'm doing. When they present an alternative suggestion they do so in a way that gives me additional information so that I can evaluate my decision more fully. Matt's office manager, Jennifer, is a great part of the team too. She is always pleasant and has helped me a number of time with paperwork on new accounts and transfering funds to and from my accounts.

When I come to them with questions they give me the benefit of their experience quickly and confidently. Their confidence in both themselves and me makes the good trades better and the bad trades more easily accepted.

I would recommend Optimus Trading to anyone who was considering a relationship with a new broker.

Christopher N
White Bear Lake, MN

Hello Matt

We have worked together about 3 years and I want to thank you, Chad and Jennifer for all you have helped me with over that time. It’s a pleasure to work with people you can call friends. It’s great to know when you call you can talk with someone that knows your name and makes you fill like they actually want to help you. Chad is great with managing automated systems and Jennifer with keeping my accounts straight. You have a great team and I’m looking forward with working with your firm for years to come.

Again thanks for everything

Gary D
Brighton, TN

I have been with Optimus Trading for a few years now, and have been consistently impressed with their level of service. I’ve had other brokers who didn’t know my name, who didn’t care if I lost every cent in my account, and who treated me as an inconvenience. The folks at Optimus have always been courteous, have at times steered me away from making unwise trades, and have, in general, been a pleasure to work with. In addition, the Optimus website has a lot of valuable information and the periodic blog updates are very helpful. I recommend Optimus as a partner for anyone’s commodities trading business.

Christopher Young
Poulsbo, Washington

 

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