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Open Feature request MC-1026

Walk-Forward Logic is Flawed

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I don't believe Multichart's walk-forward logic is correct. As has been confirmed, Multicharts is using the best optimization inputs for each test. This, in itself, is not acceptable since it would include the most outliers with the most curve fitting, leading to poor results. It is critical that the Multicharts development team either writes an algorithm to automatically find clusters of similar inputs or allows the user to select which inputs to use for each test (possibly with the aid of 3D visualization). Tradestation offers a similar feature, however it is completely useless since TS does not use "extended" backtesting. I think this is a VERY important issue that needs to be addressed and corrected ASAP.

Steps to reproduce this issue

Logic issue, not a bug, per se.

Comments (4)
user-offline.png  JoshM (Jura)
Jun 27, 2012 - 03:19

+1; totally agree.

user-offline.png  MeiHua1 (MeiHua1)
Dec 14, 2012 - 11:59

The way that the optimizer works, as well as the out put is totally un usable. I have been doing research on why it only outputs the best result and how it generated it. Its basically worthless. I have to use completely other software because of this. Actually this is a reason I want to switch from multicharts. You can not develop trading systems with out this. Which is what multicharts is for. If this is not changed quickly then I will be leaving.

user-offline.png  Zheka (Zheka)
Apr 06, 2017 - 13:26

A great solution would be to extend the "custom fitness function" functionality to WFO, exposing all performance variables available in MC (incl. e.g. maxposprofit). And if it were possible to have such functions accept input parameters and make those optimizable - that would be a "dream-come-true"!

user-offline.png  MultiCharts Support (MultiCharts)
Jan 31, 2018 - 10:22
Hello Z-Man,

Please provide a detailed description of the functionality you are looking for. What exactly is incorrect in MultiCharts and TradeStation WFO? How exactly do you want to determine/define the proper inputs for WFO? Have you tried using the Custom optimization criterion in MultiCharts to find the desired inputs? Are you referring to cluster analysis in TS? If yes - what do you want to see in 3d visualization? Which parameters do you want to change/switch?
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