Anchored vs rolling window

An anchored window keeps a fixed start date and only extends its end, so the in-sample block grows without bound; a rolling window keeps a fixed length and slides both ends forward. Pardo refuses anchored windows because their oldest, stale data degrades the fit over the years, and the disguised version (fixed start, advancing end) collapses the final optimization into a full-period fit.

First used in Lesson 2.7 · Walk-forward: the honest way to test an optimized system — the lesson that makes this term real.