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Jeff Drake

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Posts: 289

Joined: 11/17/2003
Location: Austin, TX

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Subject : RE: ATM3 lookback req'd
Posted : 2/7/2020 10:09 AM
Post #46728 - In reply to #46719
HI Bill,

Very good post. For the walk forward you do indeed need a warmup period. Since the walk forward is limited to the forward test, the back test can serve as the warmup period. 1 year (~250 bars) is probably sufficient, but 500 bars is what we used in early testing just to play it safe.

Hope that helps,
Jeff Drake
Deleting message 46728 : RE: ATM3 lookback req'd


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