Does bt support walk forward optimization?

[parthnaik]

If we have 18 months of data, the month 1-6 would be the in-sample and month 7-12 would be out-sample. We would perform a backtest on month 1-6 to find the best fit parameters and then use those parameters for month 7-12. We perform the same thing using windows month 7-12 and month 13-18. Then we stitch the results for the out-sample windows (month 7-12 and 13-18) and that is the final result.