Walk-Forward Optimization Produces Zero Results

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vmodus
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Walk-Forward Optimization Produces Zero Results

Postby vmodus » 23 Feb 2022

I have been performing WFO on a signal and the WFO tool stopped generating results when using identical parameters. Simply put, it worked yesterday and does not work today. Here is an example of my settings for WFO:
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...and the output:
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I had a soft crash of Multicharts (it stopped responding after clicking 'Break' during one optimization; I was prompted to terminate processes before restarting MC), which is when it started acting strange.

Any help is appreciated.

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vmodus
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Re: Walk-Forward Optimization Produces Zero Results

Postby vmodus » 23 Feb 2022

I forgot to mention a few other things I tried, but they did not work:
  • Created new workspace, chart and added signal
  • Recompiled signal code
  • Tried WFO on another signal

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Kate MultiCharts
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Re: Walk-Forward Optimization Produces Zero Results

Postby Kate MultiCharts » 24 Feb 2022

Hello vmodus,

If the crash can be reproduced in the latest release of MultiCharts (Release 4 (Build 23013)), please send us logs and dumps using the Feedback application. You can access it through Windows Start Menu -> MultiCharts folder -> Feedback. In the Feedback window please select:
Attach a screenshot;
Attach Log files…;
Attach minidumps…;
Upload collected data to Help Desk; and click Send.

It is important to collect it at the moment when the issue is reproduced, before MultiCharts is restarted, so that we could investigate it.

As for the Walk-Forward Optimization results, please check the following points to investigate the issue:

1. Please check if the are results in backtesting, when performing Regular Optimization or if you increase the intervals for the Walk-Forward Optimization or disable the Anchored checkbox.

2. Use the print keyword to check if the entry conditions are met.
For example:

Code: Select all

begin buy ("Entry Order") next bar market;// ..your original entry order.. print(getappinfo(aioptimizing):2:0, " | " , datetimetostring_ms(datetime), " 'Entry Order' was generated in bar# = ", Symbol_CurrentBar:5:0 ); end;
More info and examples here.

3. Try using a market entry. For example, you could just try Custom Strategy.

4. Your strategy might be affected by the fact that the script does not create drawings in the Optimization mode.

If the above points do not help understand the issue, please reproduce it in Offline mode and send us logs via the main MultiCharts window -> Help -> Feedback.
In the description field
Please select the options:
Attach a screenshot;
Attach log files…;
Snapshot of the current MC setup;
Open workspaces…;
Data for active instruments…;
Active indicators...;
Active signals...;
Upload collected data to Help Desk;
uncheck other options and click Send.

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vmodus
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Re: Walk-Forward Optimization Produces Zero Results

Postby vmodus » 26 Feb 2022

Hello Kate,

Thanks for the response. I have upgraded to the latest version (issue persists), but I will follow your action plan. A couple notes:
  • We have no drawings in our signal
  • Entries are simple, one entry for each side (long and short), one exit for each side (long and short)
  • I will try the same exercise with the signal you suggested
I'm just puzzled as to why it worked, then stopped after terminating the processes, using the same parameters, data set, and signal.

I will report back here.

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vmodus
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Re: Walk-Forward Optimization Produces Zero Results

Postby vmodus » 04 Mar 2022

The problem persists and now WFO sometimes does not produce any results even with the smallest number of runs and simplest of systems. I believe I have other issues, that may or may not be related. Some of my exits in a signal I have are being ignored. I tried using an exit provided by MC, _StpOrLim Exit , but that did not exit a position either. I even hard-coded in a price to exit (stop price) and it is still being ignored.

My next step is to switch over to my other PC which also runs MC, to see if I have that problem. I just sent the log files, etc. to the help desk, so let's see what support can do with that. If there is anything I can do in the meanwhile, let me know.

DonDuck
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Re: Walk-Forward Optimization Produces Zero Results

Postby DonDuck » 17 Apr 2022

My WFO stopped working as well a few months ago (it was working before...). I have not determined the problem.

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Re: Walk-Forward Optimization Produces Zero Results

Postby DonDuck » 17 Apr 2022

My WFO stopped working as well a few months ago (it was working before...). I have not determined the problem.
Update:
I may have resolved my issue. I ran the Matrix optimization to find the run / % values then used those values in WFO. In my case it was 30 runs using 25% of the first run.

I hope this helps.


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