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WFA (walk forward analysis) Result using quantstrat R
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WFA (walk forward analysis) Result using quantstrat R

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WFA (walk forward analysis) Result using quantstrat R

I am attempting to understand the results from the output of the walk.forward function in quantstrat. I have been dissecting it for hours and cant make heads or tails of it. the help file says the output is

Value

a list consisting of a slot containing detailed results for each training + testing period, as well as the portfolio and the tradeStats() for the portfolio

So i look at that output however it does not show the trading statistics or the portfolio for the testing period / best parameter combo only the in sample optimizations. It just says the date range for the testing period / walk forward period. There is a tradeStats in that list but I can not tell if that is for the entire walk forward periods put together or which portfolio/transactions are associated with that tradeStats.

When using the output for the .audit workspaces you get files for every testing period and a results. in both cases you receive trades from the end of the training period until the end of your data series for all parameter combos, not just the optimal combo chosen by the obj function.

My question is how do you find the portfolio and tradeStats for just best parameter combos across each of the testing periods? Not just every parameters out of sample testing over the entire period. Is this possible or am I misinterpreting the walk.forward() functions outputs?

Example: you have a system with 3 parameter combos, 1 2 3. with enough data to test 3 walk forward testing periods. Your best parameter sets for these three periods are 2 1 3. I want the portfolio / tradeStats that contains these 3 different parameter combinations for each of the testing periods in which they were optimal as a single portfolio and tradeStats output.

Maybe the result I am expecting from the wfa.result data is not really what I am receiving? Is what I am looking for possible to implement?


Maybe our resident R experts can chime in. I could really use the help. Thanks. @Big Mike @IlyaKipnis

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Did you study Guy Yollin's R slides about WFA?

Presentations - home

http://www.r-programming.org/files/WFA.pdf and http://www.r-programming.org/files/WFA.R

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Thanks for that link. Guy Yollin huge resource for this kind of thing. I tried using his examples however because i am using R in windows I have a lot of errors due to the combine function with doParallel or doSnow.

However he does state that the
"After the call to walk.forward, the portfolio object is updated with the concatenated results of all of the out-of-sample tests"

my question is Which portfolio object? Especially when you load up the any of the audit workspaces you may have dozens of portfolios, which one has the concatenated result?

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