Walk Forward Optimization (WFO) objective function?

Gamestudio Links

Zorro Links

Trading Journey
by howardR. 04/24/24 20:04

M1 Oversampling
by Petra. 04/24/24 10:34

Data from CSV not parsed correctly
by EternallyCurious. 04/20/24 21:39

Scripts not found
by juergen_wue. 04/20/24 18:51

zorro 64bit command line support
by 7th_zorro. 04/20/24 10:06

folder management functions
by VoroneTZ. 04/17/24 06:52

AUM Magazine

Latest Screens

1 registered members (AndrewAMD), 642 guests, and 3 spiders.

Key: Admin, Global Mod, Mod

Newest Members

Print Thread

Rate Thread

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: 1,725 Chicago AndrewAMD Serious User
AndrewAMD Serious User Joined: Feb 2017 Posts: 1,725 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!

Moderated by Petra