Backtesting

[Osmo]

Hello there,
do you use walkforward-type backtesting, with in-sample and out-of-sample periods? If so, how long are the periods? Thanks.

[admin]

Dear Osmo,

we don't support it at the moment, but we plan to develop walk-forward portfolio backtesting engine for testing automatic rule-based pair selection from the database.

We may be also open to other walk-forward testing ideas. What workflow do you exactly seek, can you give any example? Walk-forward is usually used to optimize model parameters or select something...for single pure backtest it does not have much sense.

Karel