Boundary Bar

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GuppyDRV
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Boundary Bar

Postby GuppyDRV » 10 Mar 2017

Hello all,

I’m making an attempt to fine tune the Walk Forward Analysis (WFO) that my trading system produces. The main issue that I would like to explore is how MultiCharts handles boundary Bar trades. For simplicity sake, I’ll provide an example of what I perceive a Boundary Bar trade to be.

Example:

Using the WFO with an in-sample (IS) period of 20 (days) and an out of sample period (OOS) of 5 (days). The concept works using the “bar” measurement option as well, although, would most likely be much higher numbers. With “bars” let’s say In-Sample 2000 (bars) and out of sample 200 (bars). So, with these numbers every 5 days or 200 bars the OOS period will come to an end triggering the WFO to re-optimize and apply the new setting to the next sequential OOS period. This last bar of the OOS period is what I’m led to believe is the “Boundary Bar”.

At the Boundary Bar, there are two possibilities, either there is an open trade or the strategy is flat. If the strategy is flat than no worries but if it currently has an open position what happens to that trade. My thoughts are that there are several possibilities.

1. MC can close all open trades at the close of the boundary bar and re-enter a trade at the open of the new OOS period when/if a new signal is generated. The new trade could be either direction.
2. MC can allow same direction trades to stay live and only exit if trade direction changes thus allowing a new opposite direction trade at the open of the new OOS period when/if a new trade signal is generated.
3. MC can exit at the close of the Boundary Bar and re-enter on the start of the new OOS period without having a new signal generated. This would create a same direction trade. My feeling is this would be the least effective of the three.

So, how does MultiCharts handle this issue when computing WFO?
Is there a way to programmatically set this functionality?

Thank you for the help.

GuppyDRV
:D

GuppyDRV
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Re: Boundary Bar

Postby GuppyDRV » 13 Mar 2017

I found this link in the WIKI section that explains any open trades at the end of an OOS period will not be counted on the WFO report.

https://www.multicharts.com/trading-sof ... O)_Results

Can MC support chime in here for information as to how these trades are handled. This can be an important issue depending on frequency of re-optimization.

Thanks for the help.

GuppyDRV

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Angelina MultiСharts
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Re: Boundary Bar

Postby Angelina MultiСharts » 14 Mar 2017

Hello GuppyDRV,

Every OOS sample is treated as a completely separate backtesting. What happens when there is an open position at the end of backtesting? It is counted in the report as is, MC doesn't close the position.
Next OOS backtesting is run anew not taking into account open positions from previous iterations.


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