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Open Feature request MC-2194

Walk-Forward Backtest Improvements

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Description

Hello guys,

I know all trading software companies have their own specialisation and means of differentiating from the competition. As automated trading is one of your specialities I think the walk-forward backtester could be greatly enhanced.

Firstly, unlike the normal portfolio backtester all data must be available for all symbols for the relevant time window, otherwise, the walk-forward tester will not operate or test any symbols over the entire test window. This makes optimisation and stress testing of a strategy on a portfolio level very difficult. One can only do the walk-forward over time frame of the shortest data series.

Secondly, there could be much more performance data for the relevant test windows. For example at present it only returns the best value, these values are always chopping around and the best value will invariably be different from one test window from the other, but with only one optimal value displayed a trader can not see if there is some consistency of values one would get from a more graphical display showing more value results

If an engineer took a look at TradeStation they will see the Walk-Forward tester has significantly more functionality and really allows a trader to drill deeper into the consistency of various data values across time.

I recognise that you guys can only do so much at once but I believe an investment of time into this feature would be a great bonus, as presently it is little more than a box ticked to say that MC has walk-forward analysis.

Many thanks

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