Can we please update the Walk Forward Optimizer. It's in dire need of updating.
Here are a few ideas:
Add data info:
- Chart Date Range: 01/01/2010 - 01/01/2013
- Total Chart Bars: 1,100
IS and OOS options. Ability to set:
- Date Range IS: 01/01/2010 - 01/01/2012. OOS 01/02/2012 - 01/01/2013
- Bar Range IS:600, OOS: 500
- Percentage Range IS: 50%, OOS: 50%
See TS Walk Forward features for other features:http://help.TS.com/09_01/tswf ... ut_wfo.htm
Any other suggestions?
Walk Forward Optimizer needs an update
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swz168
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Re: Walk Forward Optimizer needs an update
What I really miss is the option, to apply the parameters to the chart by one click.
Like:
if time is 2012 then use these paramters
if time is 2013 the use these parameters
Currently, if the OSS period is relatively small, it is very time consuming to tranfser all the WFO results/parameters to the chart.
Like:
if time is 2012 then use these paramters
if time is 2013 the use these parameters
Currently, if the OSS period is relatively small, it is very time consuming to tranfser all the WFO results/parameters to the chart.
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StefanoSF
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Re: Walk Forward Optimizer needs an update
Very interesting thread about how MC Walk Forward may be flawed:
https://www.bigmiketrading.com/multicha ... lawed.html
https://www.bigmiketrading.com/multicha ... lawed.html
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JoshM
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Re: Walk Forward Optimizer needs an update
I agree and good points (I'm a little late to this thread). I see that there is already a PM for a better WFO, which is currently assigned to MC 9.0 Beta 1 (MC-1087 - Improve the optimization process with WFO), though I'm not sure what the actual, concrete point of the PM issue is.Can we please update the Walk Forward Optimizer. It's in dire need of updating.
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khalaad
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Re: Walk Forward Optimizer needs an update
I do not know a lot about the features of various walk forward optimizers, but it would be useful if the planned MultiCharts WFO upgrade would help identify the optimal optimization frequency by finding the best period for strategy re-optimization after testing the a range of combinations of re-optimization periods.
In the attached EXCEL file I have attempted to do this exercise.
Khalid
In the attached EXCEL file I have attempted to do this exercise.
Khalid
- Attachments
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- WFO_combinatorial.xls
- (78 KiB) Downloaded 209 times
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khalaad
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Re: Walk Forward Optimizer needs an update
Here is the same strategy, same instrument; 4 hour bars.
The results would indicate the IS 800 and OOS 400 bars combination to be better than the IS 400 and OOS 200 bars combination.
Khalid
The results would indicate the IS 800 and OOS 400 bars combination to be better than the IS 400 and OOS 200 bars combination.
Khalid
- Attachments
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- WFO_combinatorial_4hr.xls
- (54 KiB) Downloaded 198 times