Forex Software — EA Studio update - more powerful Walk Forward and Reactor / Validator

Re: EA Studio update - more powerful Walk Forward and Reactor / Validator

2019-06-10T19:53:02Z

The Optimizer searches for best results against the full data series. On the other hand, the Walk forward optimizer searches best values segment by segment. the Optimizer will always find a better result on the full data set. Even more, if you first run the optimizer and then WF, it will end with the same params in the best case. However, it will most probably change some param because of local optimization of a certain segment and will deviate from the Full data best params.

You can only assert the same result when you run WF with 1 segment, which actually means you copy behaviour of the Optimizer. It will work only if all other params are the same.

By the way, if you think that Walk Forward optimizer must show the same results as the full data Optimizer, what is the purpose of the Walk Forwad at all? Only because they have different names, they should do at least something different.

Re: EA Studio update - more powerful Walk Forward and Reactor / Validator

2019-06-10T08:30:12Z

Hello! Faced with such a question. When optimizing in the "Walk Forward - Parameters" values do not match the values obtained in the "Strategy - Optimizer" at the same time interval, with the same settings. Where do the values in Walk Forward come from, and how do I get the same values for future trading in Optimizer?

Re: EA Studio update - more powerful Walk Forward and Reactor / Validator

2019-05-04T13:28:21Z

Yes, it sounds reasonable at first look. However, the problem is that there is no OOS validation of the proposed optimisation.
You can make the same when you run the Optimizer without OOS. Even better, it will use all data instead of the last part.

Re: EA Studio update - more powerful Walk Forward and Reactor / Validator

2019-05-04T13:21:23Z

It looks a good idea but I am not sure if it has a meaning.

Re: EA Studio update - more powerful Walk Forward and Reactor / Validator

2019-05-04T11:52:16Z

Hello Popov, my vote is variant 1;

@Community and Popov
My two cents on what is wrong with current walk forward approach

The way it is now the user is selecting parameters that works only for the last segment (IN SAMPLE 5) not for the actual trading period ( last in-sample 5 + last oos5 ).

If you select a walk forward with 5 segments, it should do a additional "pre-live" optimization using the ( last in-sample + last oos) to inform the user the parameters for live trading.

Hope this make some sense, if you agree reply and help to make this walk forward module something priceless!

Keep the excellent work Popov, cheers

Re: EA Studio update - more powerful Walk Forward and Reactor / Validator

2019-05-04T06:19:06Z

Here is a demo with changed params coloured in green or red depending on the direction of change.

Variant 1: The current value is compared with the previous value.

Variant 2: The current value is compared with the original value.

Which one you prefer?

Re: EA Studio update - more powerful Walk Forward and Reactor / Validator

2019-05-04T03:44:53Z

Do you mean the changed parameters or something other?

Re: EA Studio update - more powerful Walk Forward and Reactor / Validator

2019-05-04T03:24:14Z

The change re Walk Forward being colored or white is really useful.

I am trying to modify some strategies from the generator and that coloring makes it simpler to get the better results!

Re: EA Studio update - more powerful Walk Forward and Reactor / Validator

2019-05-02T10:15:17Z

Hello Traders,

I added most of missing language phrases from the last updates. If you are fluent in some of the languages of EA Studio, please translate the new phrases. You can do it from EA Studio: Tools -> Translation Editor.

Trade Safe!

Re: EA Studio update - more powerful Walk Forward and Reactor / Validator

2019-05-01T17:21:54Z

timpa wrote:

Thanks!
But Validator working quite slow now, local problem..?

Yes, local problem..
Working fast now!

Re: EA Studio update - more powerful Walk Forward and Reactor / Validator

2019-05-01T08:19:33Z

Thank you so much Popov! This is the answer I was looking for. I will use the Walk Forward Validation because a robust strategy is the most important to me. You are the best! I am learning a lot.

Thanks Again.

Re: EA Studio update - more powerful Walk Forward and Reactor / Validator

2019-05-01T07:50:02Z

It depends what you want.

Some traders consider that any kind of optimization introduces a greater curve-fitting. In that case, you can use Walk Forward validation, because it performs the validation, but doesn't update the original strategy.

On the other hand, if you want to accept the modified strategy, you have to use the "Walk Forward optimization" method.

Please consider also using the Monte Carlo validation after the other tools, because it is the best known method for robustness testing on historical data.

Re: EA Studio update - more powerful Walk Forward and Reactor / Validator

2019-05-01T07:20:51Z

Hi Popov,

Thank you for these updates and for improving EA studio. What can you recommend is the best to use between Walk Forward Optimization and Walk Forward Validation? I saw in your post that we should only choose one when using the Reactor.

Thank you

Re: EA Studio update - more powerful Walk Forward and Reactor / Validator

2019-05-01T01:33:43Z

Improved walk forward module, faster backtester, this information...

and more, thank you!

Re: EA Studio update - more powerful Walk Forward and Reactor / Validator

2019-04-30T20:59:28Z

Great news,

Thanks for the updates Popov.