Walk forward Optimisation with Multiple Time frames possible

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mefTrader
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Walk forward Optimisation with Multiple Time frames possible

Postby mefTrader » 07 Aug 2012

HI,

I have a multiple time frame strategy (data 0 - 4Hours and data1 - Day). I am trying to run a walk forward optimisation IS/OOS - 120 days over the last 5 years. The feedback from the Genetic Optimization is the following "None of the samples have sufficient data for optimization"

I have run it before on 1 data sequence ok

I am using 8.0 Build 5622

Any ideas?

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Henry MultiСharts
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Re: Walk forward Optimisation with Multiple Time frames poss

Postby Henry MultiСharts » 07 Aug 2012

Hello mefTrader,

Are you able to optimize the strategy on 4Hours chart only?
How many bars do you have on data1 and data2 ?

mefTrader
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Re: Walk forward Optimisation with Multiple Time frames poss

Postby mefTrader » 07 Aug 2012

data 0 - 2006-2012 - 4Hours
data 1 - 2001 - 2012 - Daily

I can optimize on a 4Hourly chart only

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Henry MultiСharts
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Re: Walk forward Optimisation with Multiple Time frames poss

Postby Henry MultiСharts » 10 Aug 2012

We are investigating this case.

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Andrew MultiCharts
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Re: Walk forward Optimisation with Multiple Time frames poss

Postby Andrew MultiCharts » 21 Aug 2012

When walk-forward optimization is used, all data series are segmented. In fact, all secondary data series are cut to the same segments as the first data series. If the resolution of secondary data series is greater than resolution of the first primary data series, this segmentation can cause walk-forward optimization not to work. In your particular case setting MaxBarsBack to a smaller value may help, however it is recommended to have secondary data series of the same or smaller resolution, then it should work fine.
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hendrix
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Re: Walk forward Optimisation with Multiple Time frames poss

Postby hendrix » 10 May 2014

hello

My problem is similar :

data1 = 100 ticks bars
data2 = 25 ticks bars
data3 = 4 hours bars
data4 = 50 contracts bars

so...optimization walk forward doesn't work.

do you know if the next version of MultiChart allow us to use the walk-forward with different timeframe?

best regards

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Andrew MultiCharts
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Re: Walk forward Optimisation with Multiple Time frames poss

Postby Andrew MultiCharts » 12 May 2014

It should be improved in MC 9.0.

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Re: Walk forward Optimisation with Multiple Time frames poss

Postby hendrix » 12 May 2014

oh really? thanks to your Andrew, it's a good news. :)
Over what period of time do you feel v9 will be available?

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Andrew MultiCharts
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Re: Walk forward Optimisation with Multiple Time frames poss

Postby Andrew MultiCharts » 13 May 2014

There is no ETA yet, but first public beta should be available within a month.


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