Optimization of Trading Systems Realization
Submitted by linnsoft on Tue, 04/23/2013 - 20:47
The Realization feature in Investor/RT refers to the process of walk-forward out-of-sample testing (or walk-forward optimization). In essence, Investor/RT optimizes (or backtests) over a given period, then tests using the optimized variables (or best performing symbols, or both) over a subsequent period immediately following the optimization period. In this way, we are seeing historically what we could have achieved in reality by trading our optimized results or best performing symbols.