Walk-Forward 验证

Lesson Overview

In "Backtest & Live Deployment" → "Forward Test", this lesson "Walk-Forward 验证" builds knowledge you can apply immediately.

Walk-Forward的每折必须只用过去选参，测试段之间不能被重复计分。滚动训练段可以重叠，但组合评估只拼独立未来结果。 写每折训练/间隔/测试→冻结参数→输出每折样本数和净结果→排除训练收益→检查标签跨界。 本课作业：两折测试61–80和71–90能否直接拼成40条独立测试？应如何处理重叠？

Core Concepts

These points align with the video walkthrough—take notes as you watch.

• ▸Walk-Forward的每折必须只用过去选参，测试段之间不能被重复计分。滚动训练段可以重叠，但组合评估只拼独立未来结果。
• ▸写每折训练/间隔/测试→冻结参数→输出每折样本数和净结果→排除训练收益→检查标签跨界。
• ▸本课作业：两折测试61–80和71–90能否直接拼成40条独立测试？应如何处理重叠？

Practical Application

After studying, complete the companion practice lesson to move from understanding to doing.

• ▸Follow along in Jupyter or VS Code
• ▸Log how parameter changes affect backtest results
• ▸Submit a reproducible analysis notebook

FAQ

• ▸Q: How does this lesson fit the course? A: Part of "Forward Test"—follow the curriculum order.
• ▸Q: What do I need? A: Demo account and notes; quant lessons need a Python environment.
• ▸Q: How do I know I've mastered it? A: Pass the quiz and explain three key points of Walk-Forward 验证 on your own.