Implementing Walkforward to a Strategy #1207
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chemcoder-2020
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More specifically, should super().next() be before the |
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I have a strategy class called VWAPBounceStrategy, in which the buys and sells are signaled by self.longs, self.shorts, self.longXs, and self.shortXs, which are outputs of a method called vwapbounce_signal.
I would like to implement walkforward analysis on this strategy. I looked at the ML notebook and some conversations on updating the optimal parameters. Here's a basic implementation. I would like to ask if this looks right, or is there something else needed. The workflow is retraining every month. This code does run.
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