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Quantitative Finance · Glosario

¿Qué es Walk-forward analysis?

Definition 20.6 Research Craft: Predictors, Backtests, Measurement, Portfolios · Capítulo 20 — Overfitting

Walk-forward analysis repeats, through time, the cycle of choosing a strategy on a trailing window and trading it on the next period, and judges the stitched out-of-sample periods.

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