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Walk Forward Optimization (WFO) objective function? #487497
05/19/23 17:59
05/19/23 17:59
Joined: Apr 2016
Posts: 38
madpower2000 Offline OP
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madpower2000  Offline OP
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Joined: Apr 2016
Posts: 38
Can’t find in documentation which objective WFO used to select best strategy params. Only maximum profit? R2? Some combination of strategy performance metrics?

Re: Walk Forward Optimization (WFO) objective function? [Re: madpower2000] #487498
05/19/23 18:09
05/19/23 18:09
Joined: Feb 2017
Posts: 1,806
Chicago
AndrewAMD Online
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AndrewAMD  Online
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The default objective function can be found in defaults.c. (Pessimistic Return Ratio (PRR))

You can override it, of course.
https://zorro-project.com/manual/en/objective.htm

Re: Walk Forward Optimization (WFO) objective function? [Re: AndrewAMD] #487499
05/20/23 07:04
05/20/23 07:04
Joined: Apr 2016
Posts: 38
madpower2000 Offline OP
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madpower2000  Offline OP
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Joined: Apr 2016
Posts: 38
Thanks!


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