MultiCharts Easter Sale has jumped in! Up to 50% off Explore offers
+1 888 340 6572 GET STARTED
MultiCharts Project Management
previous_open_issue.png
Go to the previous open issue
previous_issue.png
Go to the previous issue (open or closed)
star_faded.png
Please log in to bookmark issues
feature_request_small.png
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

action_vote_minus_faded.png
2
Votes
action_vote_plus_faded.png
next_issue.png
Go to the next issue (open or closed)
next_open_issue.png
Go to the next open issue
Description

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

F/R

Comments (4)
#1
user-offline.png  MultiCharts Support (MultiCharts)
Apr 27, 2017 - 16:20

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

#2
user-offline.png  MultiCharts Support (MultiCharts)
May 24, 2018 - 12:30
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.
#3
user-offline.png  Zheka (Zheka)
Jun 04, 2018 - 12:09

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.

#4
user-offline.png  MultiCharts Support (MultiCharts)
Jun 22, 2018 - 16:52
Thanks for your feedback. We will consider it if we decide to rework the IS/OOS intervals logic in the future.
History
Issue basics
  • Type of issue
    Feature request
  • Category
    Usability
  • Targeted for
    MultiCharts 12 (RELEASED)
  • Status
    Partially Implemented
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
Attachments (0)
There is nothing attached to this issue
Commits (0)
There are no code checkins for this issue
Duplicate issues (0)
This issue does not have any duplicates