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Open Bug report MC-2193

Walk-Forward - Maxbarsback creating large holes in data test window for Out Of Sample Testing

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Description

Hello guys,

this is an issue with the Walk-Forward optimiser.

The issue is with the maxbarsbars back and the out of sample test.

We can break down the data into 2 years "in-sample test" and then have one year of "out-sample" test. If the strategy being tested has a 200 day moving average maxbarsback must be set to > 200 which currently means that the strategy will not test any trades on the out of sample data. This mans that however you organise the data you will miss large chunks of data testing.

What needs to occur is that the walk-forward backtester recognise that there is currently 2 years of data available in the in-sample testing and uses this, rather than having to use X number of days of the out of sample testing before it can generate and trades.

Steps to reproduce this issue

setup 10 or 20 years of data.
Place a strategy with a max bars back of 200 (daily)
use 400 days of in-sample data and 200 days of out-sample.

Run walk-forward.

Only 200 bars of usable data is available for in-sample data - this is fine as you can just lengthen the in-sample test window.
The problem is with the out-sample - if you have the out-sample value of 200 you get no trades, if you increase this to 400 you get 200 days of trades but miss the first 200 days and every step forward the walk-forward optimiser takes it misses half of the data. If you were to test 20 years of data the walk forward optimiser would only give you results for 10 of them. with large chunks missing between each test window.

Comments (2)
#1
user-offline.png  Alex MultiCharts (Alex MultiCharts)
Mar 20, 2017 - 12:40
It would be helpful, if you specify the Build number of the version you are using.
#2
user-offline.png  Pipaholic (pipaholic)
icon_reply.pngApr 25, 13:01, in reply to comment #1


Hello Alex, i am using MC 10, Build 13626.

Thanks,

Alex MultiCharts wrote:
It would be helpful, if you specify the Build number of the version you are
using.


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