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Open Feature request MC-1087

Improve the optimization process with WFO
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24
Votes
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Description

The MC optimization is very fast, much faster than TS, but we think there are things to improve in the walk forward optimization process.
First, it would be easier to divide the historic data IS / OOS in percentage instead of bars. Also, it should be possible to optimize OOS regardless of the optimization chosen.
However, our main suggestion is that MC adds a process similar to WFO that it has TD. It is absurd to specify the functions of the WFO because they are many and well known. We are excited about MC and its speed but we are also excited with the WFO of TS. The power of MC with the usefulness of this tool it would be a dream!
It would also be useful to add some fitness functions of TS, as the TS index and the profit perfect correlation. It is also very useful the robustness index, showed in the performance table in TS.
Thanks and regards

Steps to reproduce this issue

Not needed

Comments (3)
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#1
user-offline.png andb (andb)
Mar 21, 2017 - 00:34

I assume the is about following:
1) Specify IS/OOS as % of timeline available
2) Multiple iterations should occur for a range of IS [IS1 IS2 IS3 IS4] and a range of OOS [OOS1 OOS2 OOS3 OOS4] where the range step could be again specified in %/step increase of a min IS and max IS (and similar for OOS), as Tradestation does it.

glad to see this as confirmed - is there a target for it?

#2
user-offline.png MultiCharts Support (MultiCharts)
Mar 21, 2017 - 14:47
It is not yet targeted for any specific version, the task will be updated, once its status changes.
#3
user-offline.png andb (andb)
Oct 24, 2017 - 00:35

Current monopoly on this is still with Tradestation.
There is another option out-there in Greg Ballard's WFP engine ... which works again, only with Tradestation.
I think Amibroker has a looping through various IS / OOS lengths as well ... and multiple heavy industry names are actively promoting either TS or Greg's WFP as we speak ...

Don't you guys want to close the gap with this one ... would fit perfectly with the 12 release which is heavily focused on WF anyways, now that's been over 5 years and 20 votes for this feature.

Thx

History
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Issue basics
  • Type of issue
    Feature request
  • Category
    Usability
  • Targeted for
    MultiCharts Future Releases
  • Status
    Confirmed
User pain
  • Type of bug
    Not triaged
  • Likelihood
    Not triaged
  • Effect
    Not triaged
Affected by this issue (2)
People involved
Times and dates
  • Posted at
  • Last updated
Issue details
  • Resolution
    Not determined
  • Severity
    Normal
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