Walk-Forward Analysis

Walk-Forward Analysis - A robust validation technique where optimization and testing are done in a rolling fashion. The process partitions historical data into sequential in-sample (training) and out-of-sample (test) segments. You optimize the strategy on the first in-sample period, then test those parameters on the immediately following out-of-sample period, then “walk forward” the window and repeat. This produces multiple out-of-sample test results that can be aggregated for a more reliable performance estimate. Walk-forward analysis is often considered a “gold standard” for checking that optimized parameters remain effective over time.