Optuna TPE + Walk-Forward
Optimization workflow · Equity ETFs · Workflow
The rules, in plain English
This workflow first runs 30 Optuna TPE trials — a smart search that learns from earlier trials — over integer moving-average windows, then puts the winning settings through a rolling walk-forward test. Search first, then validate out of sample: that order is the whole point. It is an optimization workflow example, and no portfolio backtest is published for it.
The published backtest
| Total return | — |
|---|---|
| CAGR (annual growth rate) | — |
| Sharpe ratio | — |
| Maximum drawdown (worst peak-to-trough fall) | — |
| Win rate | — |
| Profit factor | — |
| Risk grade (our shorthand, from the published figures) | Not graded |
| Asset class | Equity ETFs |
| Style | Optimization workflow |
| Timeframe | Workflow |
| Type | Walk-forward |
— means no figure was published for this strategy. Ungraded and workflow entries publish diagnostics rather than a graded portfolio backtest, so some metrics are not published for them.
Honest verdict
Workflow example — no portfolio backtest published
This is a workflow example, not a portfolio strategy, so there is no return to judge. Its value is in how it tests other strategies — treat it as a method for avoiding self-deception, not as a way to make money by itself.
Walk-forward note
30 Optuna TPE trials over integer SMA windows (fast < slow), then a rolling walk-forward on the winner.
Get all 50 in the workbook
Every strategy, its rules, metrics, and verdict — losers included — in one spreadsheet you can sort, filter, and study offline.
Attribution: strategy and published backtest results from the QuantJourney open-source library (Apache-2.0), via quants.md — published backtest results by QuantJourney, reproduced with attribution. Results are hypothetical backtest results based on historical data; they are not live trading results and do not guarantee future performance. Educational content only — not financial advice, and not a recommendation to buy, sell, or hold any security.