Create and Test Forex Strategies
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eas-guide:reactor [2019/02/27 14:12] – vini | eas-guide:reactor [2019/04/30 19:59] – Walk Forward optimization and Walk Forward validation vini | ||
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The final goal of the tool is to provide strategies that have passed all robustness tests. So we can start EA Studio for a night and we will have ready for trading strategies set at the morning. | The final goal of the tool is to provide strategies that have passed all robustness tests. So we can start EA Studio for a night and we will have ready for trading strategies set at the morning. | ||
- | ===== Optimization | + | ===== Optimize strategies |
- | {{ : | + | ==== Full Data Optimization ==== |
+ | |||
+ | {{ : | ||
If you "Use optimization", | If you "Use optimization", | ||
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You may find it useful to increase the Generator' | You may find it useful to increase the Generator' | ||
- | ==== Walk Forward ==== | + | ==== Walk Forward |
**Walk Forward analysis (WFA) or Walk Forward optimization (WFO)** is a sequential optimization applied to an investment strategy. The name of the analysis is called “walk forward” because we have a moving window that progressively traverses the whole period of the data history with a pre-established step. Algorithmic traders apply such analysis to decrease the over-optimized parameters used in the investment strategy as we don’t want only a great looking backtest result, we want also a system that don't fail in live real money account. | **Walk Forward analysis (WFA) or Walk Forward optimization (WFO)** is a sequential optimization applied to an investment strategy. The name of the analysis is called “walk forward” because we have a moving window that progressively traverses the whole period of the data history with a pre-established step. Algorithmic traders apply such analysis to decrease the over-optimized parameters used in the investment strategy as we don’t want only a great looking backtest result, we want also a system that don't fail in live real money account. | ||
Read more about it at [[eas-guide: | Read more about it at [[eas-guide: | ||
- | ===== Monte Carlo Validation ===== | + | In the " |
- | {{ : | + | ===== Perform robustness testing ===== |
+ | |||
+ | ==== Walk Forward validation ==== | ||
+ | You can use WFO as validation tool and it returns only strategies that pass the validated segments without changing the original parameters of the strategy. | ||
+ | |||
+ | ==== Monte Carlo Validation ==== | ||
+ | |||
+ | {{ : | ||
The [[eas-guide: | The [[eas-guide: | ||
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You set the percent rate of the tests on profit. In the shown example, all simulations must finish on profit in order to pass the strategy to the next tool. | You set the percent rate of the tests on profit. In the shown example, all simulations must finish on profit in order to pass the strategy to the next tool. | ||
- | ===== Multi Market Validation | + | ==== Multi Market Validation ==== |
- | {{ : | + | {{ : |
The [[eas-guide: | The [[eas-guide: | ||
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We have 6 markets on the example above and the validation threshold is 3. That means that if 3 or more tests finish on profit, the strategy will ascend to the Collection. | We have 6 markets on the example above and the validation threshold is 3. That means that if 3 or more tests finish on profit, the strategy will ascend to the Collection. | ||
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+ | ==== Hint for Reactor / Validator ==== | ||
+ | It is best to use only one of the following tools: | ||
+ | * Full Data optimization | ||
+ | * Walk Forward optimization | ||
+ | * Walk Forward validation | ||
~~DISQUS~~ | ~~DISQUS~~ | ||