WalkForwardWindow

WalkForwardWindow

public WalkForwardWindow(DateTime InSampleFrom, DateTime InSampleTo, DateTime OutOfSampleFrom, DateTime OutOfSampleTo)

walkForwardWindow = WalkForwardWindow(InSampleFrom, InSampleTo, OutOfSampleFrom, OutOfSampleTo)

One step of a walk-forward run: a stretch the parameters are fitted on, and the stretch right after it they are tested on.

InSampleFrom

Start of the stretch the parameters are fitted on.

InSampleTo

End of the stretch the parameters are fitted on.

OutOfSampleFrom

Start of the stretch the fitted parameters are tested on.

OutOfSampleTo

End of the stretch the fitted parameters are tested on.

InSampleFrom

public DateTime InSampleFrom { get; set; }

value = walkForwardWindow.InSampleFrom
walkForwardWindow.InSampleFrom = value

Start of the stretch the parameters are fitted on.

InSampleTo

public DateTime InSampleTo { get; set; }

value = walkForwardWindow.InSampleTo
walkForwardWindow.InSampleTo = value

End of the stretch the parameters are fitted on.

OutOfSampleFrom

public DateTime OutOfSampleFrom { get; set; }

value = walkForwardWindow.OutOfSampleFrom
walkForwardWindow.OutOfSampleFrom = value

Start of the stretch the fitted parameters are tested on.

OutOfSampleTo

public DateTime OutOfSampleTo { get; set; }

value = walkForwardWindow.OutOfSampleTo
walkForwardWindow.OutOfSampleTo = value

End of the stretch the fitted parameters are tested on.

Split

public static IReadOnlyList<WalkForwardWindow> Split(DateTime from, DateTime to, TimeSpan inSample, TimeSpan outOfSample)

result = WalkForwardWindow.Split(from, to, inSample, outOfSample)

Cuts a range into consecutive windows that step forward by the out-of-sample length.

from

Start of the range.

to

End of the range.

inSample

Length of the stretch each window is fitted on.

outOfSample

Length of the stretch each window is tested on, and the step between windows.

Returns: The windows, oldest first; none when the range is shorter than one window.