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Impact of retrain #481576
09/30/20 19:20
09/30/20 19:20
Joined: Mar 2019
Posts: 357
D
danatrader Offline OP
Senior Member
danatrader  Offline OP
Senior Member
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Joined: Mar 2019
Posts: 357
While testing a strategy, retrain seems to not be considered.

Trained strategies should be, while backtesting be "retrained", as of to the extend possible by the available data, considering the rolling change to the stratetgy parameters.

E.g. retrainDays is set to 7, so backtest should actually do that, without looking to the future.

Last edited by danatrader; 09/30/20 19:24.
Re: Impact of retrain [Re: danatrader] #481687
10/19/20 12:56
10/19/20 12:56
Joined: Jul 2000
Posts: 27,977
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jcl Offline

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jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,977
Frankfurt
That's called "Walk forward optimization".


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