MC 8.5 walk forward optimizer

Questions about MultiCharts and user contributed studies.
User avatar
swz168
Posts: 120
Joined: 30 Sep 2010
Location: Germany
Has thanked: 47 times
Been thanked: 32 times

MC 8.5 walk forward optimizer

Postby swz168 » 08 Sep 2013

I've been reading the thread "MC 8.5 walk forward optimizer is FLAWED" (https://www.bigmiketrading.com/multicha ... lawed.html) from BigMikeTrading. The thread was created by treydog999. Thanks a lot to him.

I only use sometimes the WFO functions in Multicharts. But now I read, the results can not be trusted 100%. So is it a waste of time using walk forward optimization?

@Multicharts team:

1. What is the current status? Are any improvements in MC 8.7 realized?
2. What bugs still exits in MC 8.7 regarding WFO?
3. What workaround does exist to overcome the problems?
4. Are the WFO issues adressed for the next version of MC?

WFO is one of the highlights MC offers, so it is a pity that the problems still exist for so many versions. Thanks again to treydog999 for informing at BigMikeTrading.

User avatar
JoshM
Posts: 2195
Joined: 20 May 2011
Location: The Netherlands
Has thanked: 1544 times
Been thanked: 1565 times
Contact:

Re: "MC 8.5 walk forward optimizer is FLAWED"

Postby JoshM » 08 Sep 2013

The WFO can certainly be improved, so I'm looking forward to hearing the answers.

(Thanks for creating this thread btw, swz168).

khalaad
Posts: 323
Joined: 07 Jan 2007
Location: Lahore, Pakistan
Has thanked: 64 times
Been thanked: 57 times

Re: "MC 8.5 walk forward optimizer is FLAWED"

Postby khalaad » 08 Sep 2013

Robert Pardo, on page 299 of the second edition in his excellent book, The Evaluation and Optimization of Trading Strategies, writes:
How does the Walk-Forward Analysis uncover optimization excesses and statistical failure? The most important way is to determine whether it made a profit in the walk-forward. This is its major contribution to the art of trading strategy development. The second important measure is at what relative pace or degree of efficiency did it make a walk-forward profit. This is the role of Walk-Forward Efficiency.
It may be a reflection on my abilities, rather than any shortcoming(s) , of MultiCharts walk forward optimizer that I have found it rather tedious to the point of ‘better not bother with it’ to calculate either the walk-forward profit, or the Efficiency, when using MultiCharts.

By the way, there is a $20 walk-forward analyzer software which summarizes both the profit, or loss, in the walk-forward, and the Walk-Forward Efficiency ratio for a user of any ability.

Khalid

User avatar
JoshM
Posts: 2195
Joined: 20 May 2011
Location: The Netherlands
Has thanked: 1544 times
Been thanked: 1565 times
Contact:

Re: "MC 8.5 walk forward optimizer is FLAWED"

Postby JoshM » 22 Sep 2013

(...)
I only use sometimes the WFO functions in Multicharts. But now I read, the results can not be trusted 100%. 0. So is it a waste of time using walk forward optimization?

@Multicharts team:

1. What is the current status? Are any improvements in MC 8.7 realized?
2. What bugs still exits in MC 8.7 regarding WFO?
3. What workaround does exist to overcome the problems?
4. Are the WFO issues adressed for the next version of MC?
These are still good questions two weeks later. Did you get a response yet Swz168?

User avatar
swz168
Posts: 120
Joined: 30 Sep 2010
Location: Germany
Has thanked: 47 times
Been thanked: 32 times

Re: "MC 8.5 walk forward optimizer is FLAWED"

Postby swz168 » 23 Sep 2013

Did you get a response yet Swz168?
Unfortunately no.

At least for MC 9.0 Beta 1 some other improvements is targeted according to PM: https://www.multicharts.com/pm/viewissu ... no=MC-1087

But I think those improvements are not related to the problems reported by treydog999.

Hopefully, we still will get an answer for the questions above.

User avatar
JoshM
Posts: 2195
Joined: 20 May 2011
Location: The Netherlands
Has thanked: 1544 times
Been thanked: 1565 times
Contact:

Re: "MC 8.5 walk forward optimizer is FLAWED"

Postby JoshM » 23 Sep 2013

At least for MC 9.0 Beta 1 some other improvements is targeted according to PM: https://www.multicharts.com/pm/viewissu ... no=MC-1087

But I think those improvements are not related to the problems reported by treydog999.
I agree, but that PM request (as I understand it) is somewhat vague about the actual, concrete implementation(s). For example, adding a fitness function from TS (as mentioned in that PM request) is redundant since we can code this ourselves with custom criteria. So we'll have to see what actually gets implemented.

There are, by the way, some good suggestions for the WFO made in this thread. Perhaps that the programmer who's going to implement that mentioned PM request for MC 9.0 can also address the issue raised in this thread and implement something from that other thread 'in one go'.

---
Edit: Somewhat off-topic but still relevant in this context: now that NT8 still hasn't been released yet (and with no release date communicated), this is an excellent time for MultiCharts to pick up some features for algorithmic trading (WFO, bar magnifier in portfolio). And with IQBroker coming this quarter (which has great backtesting: e.g., already multi-currency support, portfolio trading and a 'bar magnifier' for portfolio backtesting) it's really the time to devote more programming hours to the needs of algorithmic traders.

:)

User avatar
JoshM
Posts: 2195
Joined: 20 May 2011
Location: The Netherlands
Has thanked: 1544 times
Been thanked: 1565 times
Contact:

Re: "MC 8.5 walk forward optimizer is FLAWED"

Postby JoshM » 17 Oct 2013

Wow, still no response from MultiCharts Support. What's up with that?

In my view, this thread is about MultiCharts users looking for tips on how to best work with the WFO so that problems are avoided, and a request for an update about future features.

I'm not sure why that doesn't deserve a response. It surely cannot be considered offensive or highly critical.
@Multicharts team:

1. What is the current status? Are any improvements in MC 8.7 realized?
2. What bugs still exits in MC 8.7 regarding WFO?
3. What workaround does exist to overcome the problems?
4. Are the WFO issues adressed for the next version of MC?

User avatar
Andrew MultiCharts
Posts: 1587
Joined: 11 Oct 2011
Has thanked: 931 times
Been thanked: 559 times

Re: "MC 8.5 walk forward optimizer is FLAWED"

Postby Andrew MultiCharts » 17 Oct 2013

@Multicharts team:

1. What is the current status? Are any improvements in MC 8.7 realized?
2. What bugs still exits in MC 8.7 regarding WFO?
3. What workaround does exist to overcome the problems?
4. Are the WFO issues adressed for the next version of MC?

WFO is one of the highlights MC offers, so it is a pity that the problems still exist for so many versions. Thanks again to treydog999 for informing at BigMikeTrading.
Hello Everyone,

I personally worked with treydog999 on his WFO case, so let me answer each question:
  1. At the moment, no improvements are scheduled for any particular MC version.
  2. In the latest versions of MC (8.7 and 8.8 ) there are no issues with WFO. I also confirm that i have proved couple of times to treydog999 that the issues he reported are not problems with MC. WFO works correctly and in some cases it is easy to prove,while in some cases it is hard to prove. However, at the moment there is no known issue with WFO in MultiCharts software.
  3. If you experience any issue, please report it to MultiCharts Support directly so it can be addressed in a timely manner.
  4. As I said previously there is no issue with MC, so nothing is addressed for next versions of MC.
Please let me know if you have any further questions.

As soon as WFO is to be improved in any particular version of MC, the feature request will be assigned for it.


Return to “MultiCharts”