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Open Feature request MC-1913

Walk-Forward Testing - Set the test time-frame not by number of days, but by start-end dates, to have a fixed calendaristic start/end for your test windows

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Some-times there are more holidays in a year or a market than in another.
But it could be important for you that:
 - each start of the in-sample walk-forward test window start on 1st of January each year, and ends on 1st of June same year.
 - each start of the out-of-sample test window start on 1st of June the same year till 31 os Dec.
It would be beneficial to be able to set those dates as start/end of the back-test / walk-forward time-window in terms of set dates. 
Currently you can only set the number of days/bars only.

Steps to reproduce this issue


Comments (4)
user-offline.png  MultiCharts Support (MultiCharts)
Apr 27, 2017 - 23:20

We are planning to add similar functionality in the future versions.

user-offline.png  MultiCharts Support (MultiCharts)
May 24, 2018 - 19:30
Now when one uses the number of Days option – only the trading days are used (holidays and days off are skipped). The dates for the optimization intervals are also visualized in the updated WFO interface. At the moment we are not planning to add the ability to specify the exact IS/OOS dates.
user-offline.png  Zheka (Zheka)
Jun 04, 2018 - 19:09

A natural trading cycle is a week. A lot of traders close positions before the weekend.
Economic news releases are also often aligned to specific day of a week, as are option expirations, etc...

Accordingly, this forthcoming functionality should provide a way for specifying OOS/IIS periods ALSO in calendar days.
(so that one can achieve full-week synchronization of periods, regardless of the actual number of trading days in a particular week). Otherwise, because of holidays, etc oos/is period will be continuously shifting during the years of a backtest.
I would actually argue that natural, calendar-based iis/os periods are more useful than "trading" periods.

user-offline.png  MultiCharts Support (MultiCharts)
Jun 22, 2018 - 23:52
Thanks for your feedback. We will consider it if we decide to rework the IS/OOS intervals logic in the future.
Issue basics
  • Type of issue
    Feature request
  • Category
  • Targeted for
    MultiCharts 12 (RELEASED)
  • Status
    Partially Implemented
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  • Likelihood
    Not triaged
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