I figured out a way to implement Continuous Walk Forward Analysis (CWFA) on Multicharts. The main idea behind CWFA is using the optimal trading parameters for each out of sample period. As a result, your trading strategy is able to run continuously without interference from periodic re-optimization. CWFA accomplishes this by using date flags to set the parameters for each OOS period.
Code: Select all
if Date > 1/1/2012 and Date < 1/31/2012 then
Parameter1 = optimalvalue1;
Parameter2 = optimalvalue1;
if Date > 2/1/2012 and Date < 2/27/2012 then
Parameter1 = optimalvalue2;
Parameter2 = optimalvalue2;
The strategy uses an optimal parameter set for January and a different parameter set for February. Hard coding the optimal parameter set for each period can get tedious very quickly. This approach quickly becomes unwieldy if you want to frequently re-optimize your trading strategies say after the end of every day. Luckily, I have devised a better approach for doing this.
However, there are still parts of the process that I have to do manually, because I don’t have complete access to Multicharts API. Hopefully, the thread will get the ball moving and gather more support for CWFA. I already requested this as a feature in the project management.
https://www.multicharts.com/pm/viewissue ... no=MC-1479