Thanks @cone d. The walk forward matrix goes one step beyond WFO
Walk-Forward Matrix is :
Verify strategy robustness
If the strategy passes Walk-Forwad Matrix test it means that with the help of parameter reoptimization it is adaptable to a big range of market conditions
Find the optimal period for strategy reoptimization
it will help you identify the best optimization frequency
Standard Walk-Forward Optimization tests the strategy results with periodic reoptimization, let’s say every 300 days.
But how do we know what is the best reoptimization period? We can only guess, unless we’ll use Walk-Forward Matrix that will test various combinations of reoptimization periods.
What is Walk-Forward Matrix?
It is simply a set of Walk-Forward optimizations performed with different number of reoptimization periods and different Out of Sample %.
The result of WF Matrix could look like on the image below – showing the total result plus the ideal reoptimization period.
