An Example of Walking Forward in R - Matlab, R project and Python | futures io social day trading
futures io futures trading

An Example of Walking Forward in R
Updated: Views / Replies:1,253 / 1
Created: by IlyaKipnis Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Thread Tools Search this Thread

An Example of Walking Forward in R

  #1 (permalink)
Elite Member
Philadelphia + NJ/US
Futures Experience: Beginner
Platform: quantstrat
Favorite Futures: ETFs
Posts: 52 since Aug 2014
Thanks: 4 given, 39 received

An Example of Walking Forward in R

Not sure if I should devote a webinar to this, but considering how many people have asked about walk-forward applications in R, I wrote a blog post per request of one of my readers to do it with asset management data.

While I don't use quantstrat's walk-forward functionality, when you boil it down, a walk-forward test is simply a change of parameters at each rebalancing period according to some objective function (EG: every month, pick the best parameter set that maximizes cumulative return over the past month, for instance).

So here's the link to such a post.

A Walk-Forward Attempt on FAA | QuantStrat TradeR

So what I did:

I ran about 100 different permutations in parallel of the algorithm that generates my returns (there are three posts so far on this topic--Flexible Asset Allocation), and each month, I'd pick the one (or equal-weight the ones) that had the highest return over the past time period.

I'm not sure if this is a bit more ad-hoc than what some readers may like, but if you start off with an initial equity stake in quantstrat, once you extract your returns (see some of my demos in the analytics section for where I do this), then you can certainly do walk-forward analysis on trading strategies, albeit without the per-trade statistics if you go this route.

Let me know if you have any questions.

Reply With Quote
The following 6 users say Thank You to IlyaKipnis for this post:
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.


futures io > > > > An Example of Walking Forward in R

Thread Tools Search this Thread
Search this Thread:

Advanced Search

Upcoming Webinars and Events (4:30PM ET unless noted)

Wyckoff Hunting for Great Risk/Reward Ratio w/Gary Fullett

Elite only

Digging into the Details of iSystems w/Stage 5 & iSystems

Jun 5

Similar Threads
Thread Thread Starter Forum Replies Last Post
Reasons that backtesting works but live/walking forward does not. Price Addict Elite Automated NinjaTrader Trading 16 October 10th, 2013 01:27 AM
Setting Trades and Walking Away UnderPar Psychology and Money Management 10 April 13th, 2013 08:12 PM
A man was walking along ..... kbit Jokes 2 March 25th, 2012 03:32 PM
old man is walking down the street..... kbit Jokes 0 October 11th, 2011 05:46 PM
Walking Eagle Mickey Caine Jokes 0 October 11th, 2011 10:31 AM

All times are GMT -4. The time now is 05:56 PM.

Copyright © 2018 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432,
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2018-05-26 in 0.07 seconds with 19 queries on phoenix via your IP