Anchored price data, non-anchored walk forward hybrid suggestion

Hi,

One of the major problems with the non-anchored walk forward on Mutlicharts is that it is very difficult to implement as a trading system in real time as the data cut off is a bit odd especially for intraday systems. (it is based on the study bars). It is virtually impossible to replicate exact charts for intraday systems. It is important if you have indicator based RSI strategies.

Why not take the data since the first day of the chart say 1/1/2022 and the current date, instead of slice up the actual in sample data based on the study bars in the calculation. This is much easier to replicate in real time. THen the IS would include all the bars since 1/1/2022, but only do the study on the select range of dates as indicated in the in sample test dates. It would also run the settings in the OOS time frame based the same data, instead of ever changing sliced up price data chunks.

In other words, The Price data is the only part that is anchored. while the IS/OOS testing is non anchored as per normal. This is so much easier to replicate for me and think its not hard to implement from a developer point of view. I believe its a minor adjustment to the anchored walk forward option.



Thanks.

Hi leonng,

Could you please give us a specific example so that we could better understand what you’d like to achieve?
For example, on a chart with the X bars back data range you’d want to run Walk Forward Optimization with IS from the beginning of the day/session until the bar 13. And OOS not from the bar 14, but from the beginning of the next session.
Or, you’d want OOS to include IS; or you’d want to split the data series starting from the end, etc.
Some screenshots for illustration would also be very helpful.

Here is what i mean.

The chart is 15minutes 24 hour chart on usd/jpy.

basically it is the anchored version of the walk forward, but just move the dates forward one day at a time in my 10 day/1 day OOS/IS test.

Effectively it is keeping that price data since day 1, 1jan 2002. Now I can just set my strategy to those IS dates and it should output exactly what the walk forward will give me. And once that is verified, i use that data for the OOS day, and find if the results are correct or not.

This is much preferable compared to starting the data from 1200 bars back from the first IS day and doing all this cutting up the price data from 1200 bars from the first IS day, from what i read on multicharts wiki, that is what its doing. correct me if i'm wrong about the implementation of the non anchored walk forward.