Walk-forward
The Walk-Forward tab, meaning the split, blocks, the Pardo criteria, the KS test and the Deep view.
A good backtest over the whole history proves little. The walk-forward splits the trades at a cut: what lies before it is the base, what lies after it is the test. The comparison shows how much of the result is left outside the sample.
Controls
- Share before the split. A slider sets which share of the trades belongs to the base. Rechnen (calculate) sends a new share to the server.
- Blöcke (blocks). With 2 Blöcke there is one base and one test. With 3 Blöcke 50/25/25 QuantDesk divides the trades into three parts and compares the pairs within them. The bar shows, per pair, how many Pardo criteria are met. The base block is white, the test block gold.
- Analyse. Standard shows the main view, Deep additionally compares every metric with the draws.
What the tab shows
Curve before and after the split
Equity across all trades, with the split as a line. Below it, the band after the split: the actual path in white, plus the median and the 5th and 95th percentile of the runs, all as a percentage of the level at the split. That shows whether the actual path after the split sits at the edge or in the middle of the runs.
Metrics before and after
Trades, profit, win rate, profit factor, Sharpe and max drawdown appear side by side before and after the split. The six Pardo criteria summarise the comparison: Sharpe, profit factor, result per trade, win rate, max drawdown and trades per year.
KS test
The results per trade before and after the split are shown as two cumulative curves on top of each other. The largest gap between them is the value of the Kolmogorov-Smirnov test. A small gap means the trades before and after the split are distributed similarly.
Recovery after the split
How long the strategy needed to recover after the split, compared with the Monte Carlo runs.
Deep
In the Deep view every metric shows its rank among the bootstrap draws and a bracket for the p-value. Clicking a metric shows it in detail, over time or as a distribution of the draws.
What the walk-forward does not tell you
The walk-forward awards no pass mark. It shows how much of the result is left after the split and leaves the judgement to you. Even a good result after the split is a statement about the past: a market can change in ways that make both halves say nothing about the future.