Struct WalkForwardConfig 

#[non_exhaustive]
pub struct WalkForwardConfig {
    pub grid: GridSearch,
    pub config: BacktestConfig,
    pub in_sample_bars: usize,
    pub out_of_sample_bars: usize,
    pub step_bars: Option<usize>,
}

Configuration for a walk-forward parameter optimisation test.

Build with WalkForwardConfig::new, configure window sizes with the builder methods, then call WalkForwardConfig::run.

Fields (Non-exhaustive)

Non-exhaustive structs could have additional fields added in future. Therefore, non-exhaustive structs cannot be constructed in external crates using the traditional Struct { .. } syntax; cannot be matched against without a wildcard ..; and struct update syntax will not work.

grid: GridSearch

Grid search to use for optimising in-sample windows

config: BacktestConfig

Base backtest configuration (capital, commission, slippage, …)

in_sample_bars: usize

Number of bars in each in-sample (training) window

out_of_sample_bars: usize

Number of bars in each out-of-sample (test) window

step_bars: Option<usize>

Number of bars to advance the window each step.

Defaults to out_of_sample_bars (non-overlapping OOS windows).

Implementations

impl WalkForwardConfig

pub fn new(grid: GridSearch, config: BacktestConfig) -> Self

Create a new walk-forward config.

Defaults: in_sample_bars = 252, out_of_sample_bars = 63, step_bars = None.

pub fn in_sample_bars(self, bars: usize) -> Self

Set the number of bars for each in-sample (training) window.

pub fn out_of_sample_bars(self, bars: usize) -> Self

Set the number of bars for each out-of-sample (test) window.

pub fn step_bars(self, bars: usize) -> Self

Set the step size (bars to advance between windows).

Defaults to out_of_sample_bars for non-overlapping OOS windows.

pub fn run<S, F>( &self, symbol: &str, candles: &[Candle], factory: F, ) -> Result<WalkForwardReport>

where S: Strategy + Clone + Send, F: Fn(&HashMap<String, ParamValue>) -> S + Send + Sync,

Run the walk-forward test.

symbol is used only for labelling. factory receives the parameter map selected by each in-sample optimisation and must return a fresh strategy instance.

Returns an error if there is not enough data for at least one complete window pair, or if the grid search fails on every window.

Trait Implementations

impl Clone for WalkForwardConfig

fn clone(&self) -> WalkForwardConfig

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for WalkForwardConfig

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.