Walk forward is a sliding windows validation process which cuts
your backtesting period into smaller In Sample and Out of Sample period
say theres 12 weeks of your data cut it into 4 weeks of in sample and 2 weeks
of out of sample and reoptimize every OOS period.
WFO 1
IS : 1- 4 Optimize
OOS : 5 -6
WFO 2
3- 6 Optimize
OOS : 7 - 8
And Etc
Calculate the total OOS net profit, and should give you a more realistic
view of your system performance during live trading since you are most likely
to try to reoptimize your system during live trading like what the WFO does.