OptimizationPeriod

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OptimizationPeriod

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Definition

Reserved for Walk-Forward Optimization, this property determines the number of days used for the "in sample" backtest period for a given strategy.  See also TestPeriod.

 

Note:  This property should ONLY be called from the OnStateChange() method during State.SetDefaults

 

Property Value

An int value representing the number of "in sample" days used for walk-forward optimization; Default value is set to 10.

 

Syntax

OptimizationPeriod

 

 

Examples

ns

protected override void OnStateChange()
{
    if (State == State.SetDefaults)
    {        
        //set the default optimization period to 20 days for WFOs
        OptimizationPeriod = 20;
    }
}