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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 OP Newbie
madpower2000 OP Newbie 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: 1,729 Chicago AndrewAMD Serious User
AndrewAMD Serious User Joined: Feb 2017 Posts: 1,729 Chicago	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 www.vitaltrades.com - andrew@vitaltrades.com

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 OP Newbie
madpower2000 OP Newbie Joined: Apr 2016 Posts: 38	Thanks!

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