Quant Python

Walk-Forward Backtest Loop

Premium
Difficulty

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"xxxx xxxxxxxx xxx xxxx, xxx xxxx xxx xxxx xxxxxx. xxxx xx xxx xx?" xx x xxxxxxxxx-xxxxxxxx xxxxxxxxx xxxxxxxx, xxx xxxx-xxxxxxx xxxxxxxxxx xx xxxx xx xxx xxxxxxxx xxxxxx: xxxx xxx xxxxx xx xxx xxxx, xxxxx xx xx xxx xxxx xxxxx, xxxx xx. xxxx xxxxxxx xxxxxxxxxx xxx xxxx xxxx, xxxxx xxxxxxxx, xxxx xxxxx xxxx xxxxxx xx xxxxx xx xxxxxxx xxx xxxxx xxxxxx.

xxxxxxxxx xxxx_xxxxxxx(xxxxxxx, x_xxxxx, xxxx_xxx).

  • xxxxxxx: x xxxx xx xxx-xxxxxx xxxxxxx, xx xxxx xxxxx.
  • x_xxxxx: xxx xxxx xxxxxxxxxx, xxxx-xxxxxxx xxxxx xx xxx xxx xxxxxx xxxx (xxx(xxxxxxx) // x_xxxxx xxxx, xxxxx xxx(xxxxxxx) % x_xxxxx xxxxx xxx xxxxxx).
  • xxxx_xxx: xxx-xxx xxxxxxx xxxx xx xxxxx xxxxxx.

xxx xxxxx xxxxxx xx x xxxxxxxx xxxx xxxx xxxxxxxx ( x xx {x,...,x} ): xxx xxxxxxxx xx xxxx ( x ) xx xxx xxxx xx xxx xxxx xx xxxxxxx[x-x : x] (xxxx xx +x, -x, xx x xx xx xxxxx xxxx), xxx x xxxxxxxx ( x < x ).

xxxxxxxxxx xxx xxxx xxxx xx xxxxx xxxxx xxxxxxx xxx xxx xx xxxxxxx: xxxxx xxx xxxxx xxxx (xxxxxxxx xxxxxxxx x), xxx xx xxxx ( x ) xx xxx xxxxx xxx xxxxxxxx_x * xxxxxxx[x] xxxxx (xxxx_xxx / xxxxx) * xxx(xxxxxxxx_x - xxxx_xxxxxxxx).

xxx xxxx: xxxx x xx xxxxxxx xxxxxxx xxxx. xxx xxxx xxxxxxxxxx xxxx ( x = x, ..., x_xxxxx ), xxxxxx xxx xxxxxxxx xxxx xxx xxxxxxx xxx xxx xxxxxxxxx xxxx xxx xxxxxxx xxxxxx xxx xxxx (xxxx: xxx xxxxxxxx xxxxxxxx), xxxx xxxxxxxx xxxx xxxxxxxx xxxx xxx xxxx'x xxx xxxxxxx. xxxxxx xxx xxxx xx xxx-xxxx xxx xxxx, xxxx xxxxxxx xx x xxxxxxxx; xxx xxxxxx xx x_xxxxx - x.

xxxxxxxx

xxxx_xxxxxxx([x.xx] * xx + [-x.xx] * xx, x, x)
# [x.xx]

xxxx_xxxxxxx([x.xx] * xx + [-x.xx] * xx, x, xx)
# [x.xxx]

xxx xx-xxxxxxx xxxx xxx xxxx: xxx xxxx xxxxx xxx xxxxxxxx xx, xxxxx xx xxx xxxx, xxxxx, xxx xxxxx xx xxxx; xxxxx xxxx xxxxx xxx xxxxx xxx xxx xxxx.

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Language: Pythonwalk_forward

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