{"slug":"backtest-vs-forward-test","qid":"param_sweep","label":"param_sweep","post_title":"backtest-vs-forward-test","post_url":"/blog/lang/th/backtest-vs-forward-test#q-param_sweep","columns":["label","cagr_in_sample_pct","cagr_forward_pct"],"rows":[{"label":"MA 200","cagr_in_sample_pct":8.39,"cagr_forward_pct":7.87},{"label":"MA 50","cagr_in_sample_pct":7.37,"cagr_forward_pct":6.23},{"label":"MA 150","cagr_in_sample_pct":7.29,"cagr_forward_pct":6.37},{"label":"MA 100","cagr_in_sample_pct":6.24,"cagr_forward_pct":4.44},{"label":"MA 20","cagr_in_sample_pct":5.86,"cagr_forward_pct":4.24}],"shape":"ranking","sql":"WITH px AS (\n    SELECT\n        ticker,\n        date,\n        toFloat64(close) AS c\n    FROM global_markets.stocks_daily_aggs\n    WHERE ticker IN ('SPY', 'MSFT', 'JPM', 'HD', 'PEP')\n      AND date >= '2008-12-01'\n      AND date <  '2026-10-01'\n),\nma AS (\n    SELECT\n        ticker,\n        date,\n        c,\n        avg(c) OVER (PARTITION BY ticker ORDER BY date ROWS BETWEEN 19  PRECEDING AND CURRENT ROW) AS ma_20,\n        avg(c) OVER (PARTITION BY ticker ORDER BY date ROWS BETWEEN 49  PRECEDING AND CURRENT ROW) AS ma_50,\n        avg(c) OVER (PARTITION BY ticker ORDER BY date ROWS BETWEEN 99  PRECEDING AND CURRENT ROW) AS ma_100,\n        avg(c) OVER (PARTITION BY ticker ORDER BY date ROWS BETWEEN 149 PRECEDING AND CURRENT ROW) AS ma_150,\n        avg(c) OVER (PARTITION BY ticker ORDER BY date ROWS BETWEEN 199 PRECEDING AND CURRENT ROW) AS ma_200\n    FROM px\n),\ngrid AS (\n    SELECT\n        ticker,\n        date,\n        c,\n        g.1 AS label,\n        g.2 AS ma_value\n    FROM ma\n    ARRAY JOIN [('MA 20', ma_20), ('MA 50', ma_50), ('MA 100', ma_100), ('MA 150', ma_150), ('MA 200', ma_200)] AS g\n),\nsig AS (\n    SELECT\n        label,\n        ticker,\n        date,\n        c,\n        any(c)                      OVER (PARTITION BY label, ticker ORDER BY date ROWS BETWEEN 1 PRECEDING AND 1 PRECEDING) AS prev_c,\n        any(if(c > ma_value, 1, 0)) OVER (PARTITION BY label, ticker ORDER BY date ROWS BETWEEN 1 PRECEDING AND 1 PRECEDING) AS held\n    FROM grid\n),\nport AS (\n    SELECT\n        label,\n        if(date < '2020-01-01', 'in_sample', 'forward') AS window_name,\n        date,\n        avg(held * (c / prev_c - 1)) AS r\n    FROM sig\n    WHERE prev_c > 0\n      AND ((date >= '2010-01-01' AND date < '2020-01-01')\n        OR (date >= '2020-09-01' AND date < '2026-10-01'))\n    GROUP BY label, window_name, date\n),\ncurve AS (\n    SELECT\n        label,\n        window_name,\n        date,\n        exp(sum(log(1 + r)) OVER (PARTITION BY label, window_name ORDER BY date ROWS BETWEEN UNBOUNDED PRECEDING AND CURRENT ROW)) AS equity\n    FROM port\n),\nmetrics AS (\n    SELECT\n        label,\n        window_name,\n        round((pow(argMax(equity, date), 252.0 / count()) - 1) * 100, 2) AS cagr_pct\n    FROM curve\n    GROUP BY label, window_name\n)\nSELECT\n    label,\n    anyIf(cagr_pct, window_name = 'in_sample') AS cagr_in_sample_pct,\n    anyIf(cagr_pct, window_name = 'forward')   AS cagr_forward_pct\nFROM metrics\nGROUP BY label\nHAVING countIf(window_name = 'in_sample') > 0\n   AND countIf(window_name = 'forward') > 0\nORDER BY cagr_in_sample_pct DESC","computed_at":"2026-10-01T16:05:19.288803+00:00","elapsed":0.007858895}