Will be great to have this function in the FSB.

FSB has its own facility for the same and is a lot faster.

I feel that a trader can fool himself with both tools if he wants to, this is a decision that each must make for himself.

No big change probably. I think to add additional menus for Symbol and Period in Indicator Parameters Window. They will be set to main data by default. Actually for that option no change to indicators will be required.

I made some tests with separating data from calculations. The only change to indicators was a single line.

As you see FSB injects a data set to indicator via its constructor.

I have a question about the new multicurrency feature - is there only 1 dataset per indicator available or will it be possible for the indicator to use more than 1 dataset? For example, calculate moving averages of 2 pairs in one indicator, and then use those values in the following calculation.

I think the benefit, will be that it will eliminate curve-fitting.
Besides, if this is so easy, then why not?

I am not sure it will eliminate curve fitting.  At the moment there is the option to select to filter OOS performance in the generator. This only allows strategies with good OOS performance to be saved. Anything else is discarded. But the very fact that you have selected this option makes the OOS data in sample. It "contaminates" your test strategy with walk forward data. I suppose you could always have another set of OOS data which it would check against after testing the first set of OOS data. That should give better confidence but the same "contamination" issue is there. This has been discussed on previous threads and I am not sure we came up with an answer.

Wow, that's a bombshell. How big of a change it will be in terms of indicator coding and the way they are built up today?

No big change probably. I think to add additional menus for Symbol and Period in Indicator Parameters Window. They will be set to main data by default. Actually for that option no change to indicators will be required.

I made some tests with separating data from calculations. The only change to indicators was a single line.

// New constructor
        public Accelerator_Oscillator(IDataSet dataSet, SlotTypes slotType)
            : base(dataSet)
        {
...

// Old Constructor
        public Accelerator_Oscillator(SlotTypes slotType)
        {
...

As you see FSB injects a data set to indicator via its constructor.
I have a working alpha version, but it doesn't provide multisymbol / period strategies yet. You can compile it from exp branch of GitHub. It allows several Generators or Optimizers running from a single copy of FSB. But this is only experiment. If you want I can publish a testing exe.

The real problems will be making FST trading such strategies. Expert must provide and update all required data files to FST.

Wow, that's a bombshell. How big of a change it will be in terms of indicator coding and the way they are built up today?

I'll possibly add Walk Forward Analysis. Can you collect and provide more info (articles, formulas, books) on that topic.

(FSB V3.0 with these features can be expected on December.)

But, maybe better for it would be possibility to test generated strategy, against few different currency cross at once?

"Walk forward anaylsis is the process of optimizing a trading system using a limited set of parameters, and then testing the best optimized parameter set on out-of-sample data. This is similar to how you would use your expert advisor in live trading. The principles of walk forward analysis were first described in the book The Evaluation and Optimization of Trading Strategies by Robert Pardo.

To perform a walk forward analysis in MetaTrader, first optimize the expert advisor in the Strategy Tester. Then, choose the most profitable result in the Optimization Results tab, and perform a backtest it over a time period immediately following the optimization period. The end date of the optimization period is the same as the start date of the testing period. This process is repeated over and over until a satisfactory sample size is achieved.

If the expert advisor performs well in testing, relative to the optimization results, then one can conclude that the expert advisor will likely be profitable in live trading. If, on the other hand, the expert advisor performs poorly in testing, then either the optimization parameters or the length of the testing and optimization periods will need to be adjusted. If, after many attempts, the expert advisor still does not perform well in the testing, then it can be concluded that the trading system is unprofitable.

The animation to the right illustrates the walk forward analysis procedure. An optimization is performed over a longer period (the in-sample data), and then the optimized parameter set is tested over a subsequent shorter period (the out-of-sample data). The optimization and testing periods are shifted forward, and the process is repeated until a suitable sample size is acheived. [Source]
An Example of a Walk Forward Analysis

Let's provide a real-life example: We're going to do a walk forward analysis on an expert advisor, using EURUSD M30. We'll optimize this expert advisor over a period of 120 days. We've chosen the 3 or 4 most important parameters to optimize, so as not to over-optimize or "curve fit" the results. Also, fewer parameters means a quicker test.

We'll select the most profitable result, and backtest those parameters over a 30 day period immediately following the optimization period. It is recommended to use a testing period of approximately 25% of the length of the optimization period. Once we've recorded our results, we'll move the next optimization and testing period forward by 30 days.

After 12 consecutive rounds of optimization and testing, we'll have a year's worth of walk forward analysis data. We compare the average daily profit for the optimization periods to the average daily profit for the testing periods. This will give us a calculation called the walk forward efficiency ratio.

A walk forward efficiency ratio greater than 0.5 is considered a very good result. This is what we call a robust trading system. However, an expert advisor is tradeable as long as it is consistently profitable over multiple testing periods. If the walk forward efficiency ratio is negative, then that means that the expert advisor did not perform well relative to it's optimization results.

Of course, you can do a walk forward analysis manually in MetaTrader's Strategy Tester. But the process is tedious, time-consuming and prone to error. This is where the Walk Forward Analyzer software comes in. The program will automatically perform a walk forward analysis using MetaTrader's Strategy Tester over any length of time, with only a few settings provided by the user."

Source 1  http://www.easyexpertforex.com/walk-for … lysis.html

Source 2  http://www.amibroker.com/guide/h_walkforward.html

To find out if a strategy fails I do the following:

I enter each closed trade into an excel file. There I calculate a linear trend for the resulting account balance and around this 2 standard deviations up and down from this linear trend (like in bollinger bands). If the balance goes below the lower band it's a signal for me to be careful and maybe to stop the strategy.

Even better it is NOT to stop the strategy completely - reduce lotsize and let it go. So you still can enter the trades to your excel file and see if balance goes again up (of course you need to recalculate the profits so they match to the usual lot sizes). If it goes up: increase the lotsize again - if not you won't loose much.

Bye,
erio

This is something that I have wondered about myself, but I don't really have any answers. Mostly I am putting this off until I have one that I am live trading. But it is definitely an important aspect of trading to plan!