is walk forward testing always required?

[dvdadie]

the title is my question.

if the system uses pure, raw data and has fixed rules is there any value in walk forward testing? notice here that i am NOT saying backtesting, just walk forward testing.

the system could be like 'if the current day's high is lower than the previous day's high, buy the next morning long, sell 3 days later at the close'. there is no variable or parameter here. it seems like the walk forward test would give the same answer but with a lot more work. it seems like the backtest could be run over the entire time period all at once.

am i missing something here?

thanks,
david

 

[EnlightenedJoe]

Yes live testing is always required to find out the guy you are trying to take money from will say no. He doesn't care how many years of data you have. You can't have his money and that's final.

Put yourself in his shoes and you will do exactly as he does.

Imagine some idiot walk up to you in the street and says: look here rich guy, i have 200 years worth of data right here in my rucksack that says your money is my money, now give me all your money right now. You will either whack the guy on the nose or call the police.

 

[piphoe]

Yes live testing is always required to find out the guy you are trying to take money from will say no.

rofl oh sht:cheesy::cheesy:

dat is so funny

 

[Pat494]

Use both.
The great advantage of forward testing is that any glitches that are, will be more apparent. For instance sl and tp levels, TF etc.
I learnt not to leave it over night !

 

[seekingTruth16]

I would say you should forward test it or start trading it with minimal possible stakes, not the size you intend to trade for real.

Backtesting can be insufficient for a number of reasons. Your results might be due to curve fitting, and so you haven't tested out of sample. Your backtesting software might not be reliable, or not account for something that you would notice doing a forward test. Also it's whether you can actually trade the thing. A backtest might work, taking 27 trades across 15 different instruments from hours of 3am to 11pm, but you can't actually trade that unless you automate. You need to get a feel for what it is like to execute. Ideally you would want to forward test by trading live without any money. It won't be quite the same in terms of fills, but will help you on your execution.

Regardless of all of that, you'll forward test it one way or another, it's just whether you forward test with money or not. Forward testing with money could reveal non-systematic things, so there could be value in that.

I think it's worth asking why you wouldn't want to test something more that could protect you from losing capital.

 

[Jason101]

the title is my question.

if the system uses pure, raw data and has fixed rules is there any value in walk forward testing? notice here that i am NOT saying backtesting, just walk forward testing.

the system could be like 'if the current day's high is lower than the previous day's high, buy the next morning long, sell 3 days later at the close'. there is no variable or parameter here. it seems like the walk forward test would give the same answer but with a lot more work. it seems like the backtest could be run over the entire time period all at once.

am i missing something here?

thanks,
david

dvdadie,
You joined in 08, almost 10 yrs ago. And this is your first Post !!
(seems like a newbie type question) What you been up to?

 

[Quantt]

the title is my question.

if the system uses pure, raw data and has fixed rules is there any value in walk forward testing? notice here that i am NOT saying backtesting, just walk forward testing.

the system could be like 'if the current day's high is lower than the previous day's high, buy the next morning long, sell 3 days later at the close'. there is no variable or parameter here. it seems like the walk forward test would give the same answer but with a lot more work. it seems like the backtest could be run over the entire time period all at once.

am i missing something here?

thanks,
david

You can also froward test from some point into your data as well...

 

[dvdadie]

thanks

Use both.
The great advantage of forward testing is that any glitches that are, will be more apparent. For instance sl and tp levels, TF etc.
I learnt not to leave it over night !

thanks pat, good stuff

 

[dvdadie]

thanks_truth

thanks truth and quantt, good stuff.

after some more pondering, the walk forward testing could provide information on how 'stable' / 'robust' the system is from year to year.

 

[dvdadie]

first post

dvdadie,
You joined in 08, almost 10 yrs ago. And this is your first Post !!
(seems like a newbie type question) What you been up to?

jason - i am pacing myself

 

[Quantt]

jason - i am pacing myself

lol

 

[Pat494]

jason - i am pacing myself

Don't over do it bud

 

[foroom lluzers]

Yes live testing is always required to find out THE ENEMY WITHIN

The enemy within come out only on live accounts (not demo )forward testing , it is how a trader handles losing , after feeling the pain and discomfort of being wrong and losing real money.

 

[EnlightenedJoe]

The enemy within come out only on live accounts (not demo )forward testing

So the alien creature inside you only bursts out when the scent of real cash is detected ?

 

[foroom lluzers]

So the alien creature inside you only bursts out when the scent of real cash is detected ?

yup

 

[EnlightenedJoe]

yup

You are obsessed with money. This suggests, you are not as big a winner as you pretend to be. Here, that's my psycho-analysis at work. But I don't use it in trading because it's irrelevant. Trading is about economics: if there is value, take. If they take your value, defend.

I think you are having trouble accepting your losses are caused by your own mistakes or by the action of your counterparty. So you assign the blame to an arbitrary 'entity'. Until you find the true source of your loss, you are not going to make it.

 

[Pat494]

The main problem with walk forward testing is the large amount of time it takes.

 

[foroom lluzers]

You are obsessed with money. This suggests, you are not as big a winner as you pretend to be. Here, that's my psycho-analysis at work. But I don't use it in trading because it's irrelevant. Trading is about economics: if there is value, take. If they take your value, defend.

I think you are having trouble accepting your losses are caused by your own mistakes or by the action of your counterparty. So you assign the blame to an arbitrary 'entity'. Until you find the true source of your loss, you are not going to make it.

My losses are discussing my valuable profitable strategies and time on you.

 

[Quantt]

The main problem with walk forward testing is the large amount of time it takes.

That's true, but what's the hurry, the market is going to be here tomorrow, next month and next year, (unless a global disaster strikes at which point I one will care anymore about money...)