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Open Feature request MC-1881

Walk Forward Test Engine - Generate code to include optimized OOS values for each OOS time-interval

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Description
  1. IT would be very useful, once you generated a Walk Forward Test, to be able to generate in code the opimized variable values for each out of sample time-interval.

  2. Currently, there is NO aggregated view of ALL Out of Sample intervals' Statistical Performance Report.
    You may do Walk-Forward, but you have no idea of overall Walk-Forward performance you get, unless you want to copy past data externally, and process in Excel, etc ...

Steps to reproduce this issue

This would allow you to generate a signal file with optimized "hard-coded" values for your variables, as an output of the WFO test, which gives you access to strategy performance, etc.

Comments (3)
#0
user-offline.png  andb (andrei.reiand@gmail.com)
Oct 12, 2015 - 16:55

Currently, there is NO aggregated view of ALL Out of Sample intervals' Statistical Performance Report.
You may do Walk-Forward, but you have no idea of overall Walk-Forward performance you get, unless you want to copy past data externally, and process in Excel, etc ...

#1
user-offline.png  Alex MultiCharts (Alex MultiCharts)
Apr 27, 2017 - 12:13
  1. Not planned for the future versions.
  2. Should be available in MultiCharts 12.
#2
user-offline.png  andb (andrei.reiand@gmail.com)
May 31, 2017 - 10:38

At the minimum, if 1) is not in the books for the foreseeable feature, the report (point 2) should contain the parameter values and their time-range values in a table, nice and easy to export.

History
Issue basics
  • Type of issue
    Feature request
  • Category
    Usability
  • Targeted for
    MultiCharts 12
  • 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
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  • Last updated
Issue details
  • Resolution
    Not determined
  • Severity
    Normal
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