Walk-forward optimization API to Portfolio#850
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kothurisindhu2000 wants to merge 3 commits into
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Just wonder… you guys do such fancy stuff like walk forward optimisation…. On another hand vbt can not yet handle such simple stuff as negative prices, forward contracts rolling or currency or units conversion…. Should not effort go into implementing the basics before turning to fancy optimisations? |
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This PR introduces a native walk-forward analysis method to the Portfolio class.
The new method enables time-based train/test splitting directly within vectorbt, allowing users to evaluate strategy performance in a more realistic way without relying on external scripts.
Key points:
This feature integrates with existing Portfolio APIs and does not break current functionality.