I have been using Walk Forward optimization to test my automated strategy. I used 90 days as optimization period and 30 days as testing period.
When I received the results I started checking them by actually doing the regular back testing (to check the accuracy of the results and also to understand them). And for a few of the periods listed under WF optimization results differed when I did the regular back test. I used the same parameters listed under WF optimization and also the same period for back testing. But the results differed when I conducted the regular back test. For example WF optimization will show profit of $X for period Y by using XYZ parameters, but when I actual conduct back test, it will show different amount of profit for the same time period Y using the same set of XYZ parameters.
Can someone please guide me with what could be wrong?
Appreciate your help in advance.
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