SmartQuant Discussion

Hi,

I’m wondering if you could please help me?

From this post from Anton I’ve been digging to the Scenario functionality (viewtopic.php?f=59&t=10117).

I’m looking to do a walk forward by period. What do I mean by that?

I want to be able to do the following:

1. Set a range of days for the overall test (e.g. 01-01-2006 – 30-12-2010)
2. Optimise for 1 month
3. Walk forward for 1 week
4. Store the results from walk-forward
5. Repeat for each month + 1 week within the dates

Any ideas?

I’ve found samples where the optimisation is completed on static set of days, not on a dynamic window of dates.

If I’ve missed the sample somewhere on the forum apologies for that.

Kind regards,

drolles

Hi,

Have you seen this thread:
viewtopic.php?f=64&t=8627&hilit=walk+forward
?

If you need a dynamic dates instead of hardcoded - you can create a .txt file with such dates and read these dates from the file right in the scenario.cs

Right now everything you mentioned should be done in the scenario.cs.

We are now working on new Optimization engine, that should partially automate such things, it should be ready in a month or so.

Regards,
Sergey.

Sergey,

Thanks very much for the prompt reply.

Great news that we are progressing the functionality around optimisation.

Yes, I had read that thread. It doesn’t really answer the question around the sliding window problem.

However, I did think about using the format in a thread to partition the dates given the in the overall start dates & end dates into the sections I require.

One could pre-process the dates and partition those, putting the dates in an array, then running against the dates.

The thing I still don’t understand that is related to this thread (viewtopic.php?f=59&t=10117) is the writing out of results. I probably need to have play with that. If I generate any questions in this area I’ll post them to the original thread.

Thanks,

drolles