Currently the walk forward testing is quite unusable in my point of view.
For the longest time, i've done manual forward testing can be described simply as:
- 1. Setting dates In sample period. getting the parameter settings (example: 1/1/2020 to 1/1/2021) dd/mm/yy
2. Displaying the results for the OOS test using the IS parameter settings (example: 2/1/2021-2/3/2021)
3. recording my results in a spreadsheet.
4. Back to step 1 for the next IS/oos period
However I would like to see if it is possible how Multicharts could improve the process 1-4 to make it more automated involving less typing and clicks.
There is one suggestion I think would help. If there could be a way to batch process this and do it iteratively.
Like an excel spreadsheet with inputs for the first process, then get the walk forward parameters of all the processes in a csv file.
Example for IS paramater output file:
1/1/2020 to 1/1/2021 -> output best optimization parameter result to csv file row 1
1/1/2021 to 1/1/2022 -> ouput best optimization parameter result to csv file row 2
1/1/2022 to 1/1/2023 -> ouput best optimization parameter result to csv file row 3
Another suggestion would be for the OOS testing process. Able to manually set the dates/inputs for the OOS sample test, and plug in the inputs to change the output iteratively, then put the results into a performance report.
Example for OOS aggregated report:
1/2/22 - 30/2/22 use settings Period 30 ->> output trades to aggregated list
1/3/22 - 30/3/22 use settings period 25 ->> output trades to aggregated list
1/4/22 - 30/4/22 use settings period 26 ->> output trades to aggregated list
The aggregated list is essentially all the walk forward results in a simple to view strategy report.
This would halve my manual repetitive input and make walk forward testing so much better, not perfect but definitely a huge improvement.
