Walk Forward Optimization Use

Questions about MultiCharts and user contributed studies.
Tibouss
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Walk Forward Optimization Use

Postby Tibouss » 26 May 2022

Hello everybody,

I would like to have some feedbacks from Multicharts users to know how do you use the Walk Forward Optimization tool.
In fact i'm a little bit confused by this tool. Maybe i'm using it not correctly and i get some trouble to use it.

I would like to know for example if you use it systematically to judge the robustness of your strategy?
Do you also use it to get the most accurate inputs for your strategy?
How many segments do you usually use? Doesn't it take too much time to compute the analyze?

In addition, if you don't use this tool, how do you manage to make a Walk Forward Analysis of your strategy? For example, do you keep some out-sample data and perform this walk forward analysis manually? If yes, how do you manage to do it and how do you manage to get your ideal inputs for your strategy?

Personnally i don't use this Walk Forward Optimization tool for many reasons :
-The computing time to perform the analysis is awfully long
-I don't know how many segments to use
-I have trouble to find correct values for my strategy inputs with this tool

Instead of using this tool i use a in sample period to perform backtesting and then i keep an out-sample period to valid strategies. Then i test the robustness of the strategy with another out-sample period or in real conditions.

So, i might be glad to hear your feedback from how do you perform Walk Forward Analysis and what do you think about the Multicharts Walk Forward Analysis tool.

Many thanks in advance!!

SUPER
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Re: Walk Forward Optimization Use

Postby SUPER » 28 May 2022

Please view, Probably the best series on Optimisation:

https://www.youtube.com/watch?v=WBZ_Vv- ... ffIZFgYsZd

Tibouss
Posts: 31
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Re: Walk Forward Optimization Use

Postby Tibouss » 28 May 2022

Thank you, in fact i already saw these videos which are very good!
In fact the purpose of this topic is to share feedbacks with each other.
I guess there is not an only method to test the robustness of a strategy by walk forward optimisation, so i thought that maybe it might be good to share our feedbacks to improve our methods.


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