↓ Skip to main content

Walk-Forward

walk-forward validation: stopped fooling myself with in-sample results
·2004 words
Algo Development Infrastructure Algo-Trading Python Backtesting Walk-Forward Optimization Overfitting Crypto BTC Timescaledb Performance Colocation
2:15 AM monday. A. called it around 11:30. she reads for like 20 minutes and then just drops — book still open on the nightstand, her laptop sitting open on the coffee table. I turned the screen off around midnight, refilled my coffee, sat back down.
strategy health scoring: detecting algo decay before it wrecks your Q2
·1785 words
Algo Development Trading Performance Algo-Trading Strategy-Monitoring Python Performance Statistics Health-Scoring Regime-Detection Risk-Management Walk-Forward
2:45am monday. first trading day of Q2. Q1 is officially in the rearview — closed at basically flat, full numbers are in friday’s post. the weekend was heavy. not going into it right now. but Q2 starts regardless, and the algos don’t wait for you to process.
parameter tuning - avoiding overfitting with walk-forward validation
·945 words
Strategy Development Backtesting Python Optimization Walk-Forward
parameter optimization = dangerous. easy to overfit historical data. walk-forward validation = solution. the overfitting problem # traditional optimization: