Walk Forward Optimization: Difference between revisions
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<div style="background-color: #E3FBE5;">Note: The significance of OOS results from Walk Forward Optimization is debatable. For more information, please see additional literature about this subject.</div> | <div style="background-color: #E3FBE5;">Note: The significance of OOS results from Walk Forward Optimization is debatable. For more information, please see additional literature about this subject.</div> | ||
[[File:Wfoptimization1.png]] [[File:Wfoptimization2.png]] | |||
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== Using Walk Forward Optimization == | == Using Walk Forward Optimization == | ||
To use Walk | To use Walk Forward Optimization: | ||
:1. Open the '''Format Objects''' window.<br><span>{{FormatObjectIS}}</span> | |||
:2. Select the '''Signals''' tab and select the signal in the box. | |||
:3. Click the '''Optimize''' button. The '''Optimization Settings''' window will appear. | |||
:4. Select the optimizable inputs and optimization method – exhaustive or genetic (both will work with '''Walk Forward Optimization'''.) Please refer to [[Performing_Optimization]] for more information. | |||
:5. Click '''Next''', and the '''Set Walk-Forward Parameters''' section will appear. | |||
:6. There are two possible types of segmentation for Walk-Forward Optimization: by number of runs and by time span. Select the desired one in the '''Segments Type''' section. | |||
:7. If '''Number of Runs''' is selected:<br> | |||
Enter the number of runs into the '''Number of Runs:''' textbox. | |||
<br>Enter the percentage number for the OOS portion of a segment into the '''OOS, % of first Run:''' textbox. | |||
<br>When '''Number of Runs''' is selected, the segmentation is always performed according to bars. | |||
:8. If '''Time Span''' is selected:<br> | |||
Enter the number of bars/days for the IS portion of a segment into the '''IS''' textbox.<br> | |||
Enter the number for the OOS portion of a segment into the '''OOS''' textbox. The number can be expressed as a percentage, if '''% of the first Run''' is selected in the next dropdown list, or in bars/days, if '''same as IS''' is selected there. | |||
:9. Check the '''Anchored''' checkbox to use anchoring. Uncheck the '''Anchored''' checkbox to not use anchoring. | |||
:10. Click the '''Next''' button. | |||
:11. In the '''Set Robustness Settings''' section set up the criteria according to which the robustness of the strategy will be estimated. For more information about Strategy Robustness click on [https://www.multicharts.com/trading-software/index.php/Strategy_Robustness '''What is Robustness?'''] link. | |||
:12. Click '''Analyze N Combinations''' to run Walk-Forward Analysis and generate the Walk-Forward Optimization Report. | |||
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[[Category:Optimization]] | [[Category:Optimization]] |