The Evolution of Walk-Forward Backtesting

Many papers discuss what should be included in a walk-forward backtest, but few focus on how to go about building one. This article aims to demystify the processes and consolidate the various concepts. It begins with an overview of the professional systematic trading workflow, highlighting the functionalities that various backtesting patterns should include. Three development patterns are examined, guiding the reader from a simple vectorized approach via for-loop iterative backtesting to cutting-edge event-driven architectures. Finally, an alternative approach based on functional reactive programming is introduced, and the article illustrates how this paradigm offers additional benefits for walk-forward backtesting.