Let's say for example I am testing a strategy that uses 2 days for the Optimization period and a 1 day test period, and I get to the point where I would like to trade the strategy.
If I were to start trading equities on Monday, I would then run an optimization with the same settings as the walk forward optimizer just with the last 2 days. The problem is on Monday the last 2 days would be Saturday and Sunday.
Does the walk forward optimizer use the last 2 sessions that the instrument was open on, or would it optimize based on the calendar date? I.e, would it optimize based on no data?
Thanks,
Evan
Comment