Building Back Tests that Match Live Performance - 03/30/3025

How to Build Strategies that Work

Bob’s framework prioritizes adaptability and empirical rigor. By combining WFA with curated tools (e.g., Ranger) and disciplined evaluation, traders can:

• Identify strategies that perform consistently across regimes.
• Minimize overfitting risks inherent in traditional optimization.
• Build diversified portfolios of uncorrelated strategies for smoother equity curves.
• Have a built-in process for on-going monitoring and updates of strategies.

For advanced traders, the key lies in balancing automation with strategic intuition—leveraging WFA to validate ideas while respecting market complexity.

Read More of Simon's overview here.

Clicking the time will take you to the chapter.

Contents:

0:00:00 What Is Walk Forward Analysis?

0:06:00 Markets / Strategies Best for WFA?

0:12:00 Why Use Multiple Walk Forwards?

0:18:00 How Accurate Are the Stats?

0:24:00 What Are Its Pros & Cons?

0:30:00 Which Markets Suit Walk Forward?

0:36:00 Art vs. Science in Strategy?

0:42:00 Is It a Two-Part Process?

0:48:00 How Do You Assess Robustness?

0:54:00 What About Objective Functions?

1:00:00 Manual vs. Automated Selection?

1:04:00 Can Ensembles Improve Results?

1:08:00 How to Build a Diversified Portfolio?

1:08:52 Ranger and Other Offerings from Bob Pardo

Click the Image below to view the Second Part of our Podcast.