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Forex Software → Expert Advisor Studio → Walk Forward
Hello Traders,
We have Walk Forward in EA Studio.
It work for a single strategy and also in the Reactor as a validation tool.
I'll provide documentation within two days.
Please take at the Walk Forward tool, play with the options and post your opinion.
Trade Safe!
Good job!!! 
Very nice, going to test this...
Hi,Popov
And the next Walk-Forward tool will be in FSB Pro also,Right?
This is awesome.
Can you give some quick explanation on how it works in Reactor? Does the engine expose the strategy to the entire period first, and THEN run walk forward on the same period?
Can you give some quick explanation on how it works in Reactor? Does the engine expose the strategy to the entire period first, and THEN run walk forward on the same period?
The reactor gives the strategy and the complete Data Set to the Walk Forward engine. It calculates the segments according to the settings and cuts the Data Set in parts. It starts optimizing form the first segment's In Sample part. Than the Walk Forward calculates the OOS backtest and stats. It also validates the OOS parts according to the validation criteria set in the Walk Forward page. When the engine finishes with the first segment, it continues with the rest one by on at the same way.
When all the segments are calculated and validated, the Reactor compares the count of the validated segments with the set threshold. If there are enough validated segments, the Walk Forward passes the strategy to the next selected tool (if any).
Hi Popov
Nice job
Could you check please the scaling of graph in X-axis. It looks to exist some delay in last green space.
GD
Yes, I also noticed that. I'll check it more thoroughly.
Well done Popov - excellent feature to be implemented!
A new version of EA Studio is uploaded.
It has the Walk Forward segments calculated correctly and also some other minor fixes.
Please reload the app to use the newest version.
Actually I will spend the next two days in making the Walk Forward more powerful.
I'll add chart line of the initial equity before the optimization of each segment.
I'll add also tables for all stats params like that:
Net Balance
Segment #, Original , Before Optimization, After Optimization, Gain
Later I'll think of implementing Matrix calculations. My concern about it is that the output may become blotted with stats data.
Actually I will spend the next two days in making the Walk Forward more powerful.
Since you're working on improving WFA, I have a suggestion:
As it is now, it's running the walk forward process on market data that the strategy development process has already been exposed to (the same period from where the strategy was discovered). So, technically the WFA is suffering from data snooping, because it's "walking" on the same data used to develop the strategy. For example: if 2005-2010 is used in the "Data Horizon", the Generator is looking for strategies that work on 2005-2010 period, and then the Reactor runs WF validation on the same period.
To simulate the "true" walk forward concept, the in-sample period used to discover and optimize the strategy should be completely independent of the out-of-sample, since this is what will happen when we are developing a strategy to run in the future (we have data from XXX to June-2018, and the key challenge is to be profitable after that).
So, my suggestion is: if the user selects walk forward validation in Reactor, and 2005-2010 is selected in "Data Horizon", only the first in-sample period should be available to Generator. Let's say that in-sample period is 1 year, then the data mining process should only run from Jan-2005 to Dec-2005, and the remaining period (2006-2010) used for walk forward validation.
Awesome work you're doing here!!!
Looks very good Mr. Popov, good work!
@moreirajbn: I understand what you say, but different users = different approaches. I use it for parameter stability testing, so data snooping (using the same data the strategy was generated on) is not an issue in that case and I do not like to be forced data that has "not been used before", especially since I create my strategies on 32 years of data without any OOS. So if at all, this should become and OPTION, not something that is forced upon the user.
Thanks 
Looks very good Mr. Popov, good work!
So if at all, this should become and OPTION, not something that is forced upon the user.
Thanks
Excellent point @geektrader... Totally agree that "unseen data for walk forward" should be an option, not a static feature :-)
@moreirajbn your approach is reasonable.
Fortunately, you can solve this problem with EA Studio:
- Decide what time span you will use for creating your strategy and for testing on unseen data ( OOS ).
- Set the first time span in Data Horizon and built and test the strategy.
- Set the second time stamp in the Data Horizon (You may overlap the data span). EA Studio will show you the full performance of the strategy on the OOS data.
- Use Walk Forward to see if the strategy will perform better, if you optimize it on segments.
I've been looking for a viable solution for years, I'm going to use it right away! Congratulations to those involved
thanks in advanced! cheers from Brazil
Dear Popov,
it looks very promising. It gives another way of optimization.
I wonder if to include percent at gain can be helpful
# Before Optimization After Optimization Gain
1 2769 2120 -649 (23%)
2 2270 1952 -318 (14%)
3 2219 2007 -212 (9.5%)
I'm making a new stats table inside the Statistics tab. It will show the full info.
Added full OOS stats by segments. Please reload the app.
Is there any timeframe for when the Walk Forward will be fully functional? Ie use walk forward to optimise rather than using the optimiser which leaves the OOS data till most recent. As well as being able to applying the optimised parameters from the Walk Forward to the strategy?
Hello Michael,
We have that update in our ToDo list. Please stay around and you will hear for the update when it is ready.
It looks very promising.
Would it be possible to implement such feature into FSB as well?
Best regards
Walk Forward will be fully explored in EA Studio first. When we are satisfied form the algorithm implementation and the results, we will think of FSB Pro implementation.
Hi!
As I understand this is the anchored version, will you also add the non anchored version (rolling window)?
So one can switch between the two..
Best
Tim
Forex Software → Expert Advisor Studio → Walk Forward
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