Hey Popov, thanks for the reply.
I understood your point of how one can proceed while applying walk forward in live trading.
You mentioned that test starts calculation from the beginning of the out of sample dataset. This makes sense.
But, I was testing some strategy and was unable to reproduce the results shown when I applied the walkforward optimized parameters to the last out of sample segment. Can you point out what I'm doing wrong. I have attached a simple example below. Sorry for the long post.
1] Dataset & timeframe -> EURUSD 1D (All available premium data 4886 bars)
2] Entry condition & starting parameters -> Rsi crosses the level upward (close, period- 14, level- 70)
3] Exit condition & starting parameters -> Rsi crosses the level downward (close, period- 14, level- 30)
4] Entry Lot - 0.1, Opp. entry signal - Ignore, No SL TP.
5] Walkforward setting -> Segments(12), Out of sample(30% OOS), Numeric range(+- 20steps), Search best(Net Balance).
6] Validation -> Minimum net profit(0)
After running walkforward, the results I get for the 12th segment is 32 trades, 419 USD net profit, 555 USD drawdown.
The date range for 12th segment is -> "2021-07-13 00:00" to "2022-08-12 00:00".
The parameters for same are -> Entry RSI -> Period(3), Level(21)
Exit RSI -> Period(2), Level(45).
Now I know this strategy is no good. But the problem is when I select that date range in Data Horizon tab and run the same strategy with these calculated parameters, the results are different(See attachments). The results I get are as follows-> 30 trades, 499.6 USD net profit, 554.8 USD drawdown.
Drawdown is same but the two trades are missing. In this specific case at least its similar, sometimes there is a huge difference between what the walkforward calculates and what actual backtest shows. Please let me know what is wrong. See attached images too.
Thanks for reading this long post.
Post's attachmentsFinal segement's results.png 103.58 kb, file has never been downloaded.
Initial Strategy.png 68.6 kb, file has never been downloaded.
Walkforward Parameters.png
Walkforward Parameters.png 19.86 kb, file has never been downloaded.
Walkforward Results.png
Walkforward Results.png 56.5 kb, file has never been downloaded.
Walkforward Settings.png
Walkforward Settings.png 31.22 kb, file has never been downloaded.
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