WFO Questions

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WFO Questions

Postby signalworks » 09 Jan 2019


Got some questions on the Walkforward test: I made the following settings:

-Number of runs: 1, OOS % of first Run: 8 (IS ~10 years, OOS 1,5 year)
-Set robustness Settings: MaxDrawDown <= 600 -> without a specification for these settings, "No Data" is displayed directly
(MultiCharts64 Version 12.0 Release (Build 17002)

1. why is it not possible to test here without robustness settings?

2. in the current calculation window (when the test is started), the number of runs is = 2. Does Run here mean once for InsampleTest and once for OutOfSampleTest?

3. in the general description on the website it says to WFO that the InsampleTest is an Optimization, the OutOfSampleTest then only a Backtest of the optimized InsampleValues. How often is this done with the above setting? For Run2 you need about the same time as for Run1...

4. I got high values in the WFO tests for the IS and low values for the OOS. However, I had done the same procedure manually before: two instances MC opened. In one instance the insample test and in the other instance the OOS. The IS was a bit lower (about 10%), but I could manually get a much better result (+300%) in the OOS with the manual parameter comparison. This leads to the question: Can I achieve a result with the WFO test that calculates the best IS value and the best possible OOS value with the IS parameters for me? I am looking for the highest CustomFunction value resulting from BOTH ( IS and OOS). The above mentioned WFOTest does not do this, it just maximizes the IS period. It should now also maximize the OOS period and then find the parameter combination from both, which on the one hand represent the relatively best values in the sum total of IS and OOS and on the other hand in IS and in OOS itself. Is this scenario possible with a different setting?

Thanks & regards!

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Re: WFO Questions

Postby Anna MultiCharts » 17 Jan 2019

Hello, signalworks!

Please provide your workspace, signals, export of data in QMD + screenshots of optimization and robustness settings, inputs used, WFO results so that we could analyze this case.

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