Create and Test Forex Strategies
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eas-guide:reactor [2019/04/30 19:59] – Walk Forward optimization and Walk Forward validation vini | eas-guide:reactor [2020/12/11 12:27] – Ilan Vardy | ||
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The Reactor provides a way to automate the process of generating, optimizing and validation strategies. Ir is also known as an Automated Workflow for creating trading systems. | The Reactor provides a way to automate the process of generating, optimizing and validation strategies. Ir is also known as an Automated Workflow for creating trading systems. | ||
- | The Reactor comprises a Generator and additional tools for optimization and validation of the generated strategies. For example, you can enable the Monte Carlo tool in the Reactor and each generated strategy will be validated by number of Monte Carlo tests. It will be added to the Collection only if passes the Monte Carlo tests and all other enabled validation tools. | + | The Reactor comprises a Generator and additional tools for optimization and validation of the generated strategies. For example, you can enable the Monte Carlo tool in the Reactor and each generated strategy will be validated by a number of Monte Carlo tests. It will then be added to the Collection only if passes the Monte Carlo tests and all other enabled validation tools. |
{{ : | {{ : | ||
- | You can enable or disable each option. When you do it, the Reactor shows the corresponding option stats on the right side of the screen. This tool is extremely powerful and there are many ways to use it. | + | You can enable or disable each option. When this is done, the Reactor shows the corresponding option stats on the right side of the screen. This tool is extremely powerful and there are many ways to use it. |
**How it works:** | **How it works:** | ||
* it generates a strategy (with the corresponding goal, criteria and OOS), | * it generates a strategy (with the corresponding goal, criteria and OOS), | ||
- | * optionally it can optimize the strategies. You can use separate settings for that. | + | * optionally, it can optimize the strategies. You can use separate settings for this. |
* the strategies may be additionally validated against the Monte Carlo and the Multi Market tools. | * the strategies may be additionally validated against the Monte Carlo and the Multi Market tools. | ||
* finally, if the strategy passes all validations successfully the reactor will ascend it to the Collection. | * finally, if the strategy passes all validations successfully the reactor will ascend it to the Collection. | ||
- | The final goal of the tool is to provide strategies that have passed all robustness tests. So we can start EA Studio | + | The final goal of the tool is to provide strategies that have passed all robustness tests. So we can start the EA Studio |
===== Optimize strategies ===== | ===== Optimize strategies ===== | ||
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{{ : | {{ : | ||
- | If you "Use optimization" | + | If you use the Optimization feature, the Automated Workflow tries to optimize every strategy produced by the Generator. |
You can use individual settings for this optimization tool different than the main Generator settings. | You can use individual settings for this optimization tool different than the main Generator settings. | ||
After the optimization is ready, the app validates the best found strategy against the Acceptance Criteria. | After the optimization is ready, the app validates the best found strategy against the Acceptance Criteria. | ||
- | If the strategy | + | If the strategy |
You may find it useful to increase the Generator' | You may find it useful to increase the Generator' | ||
==== Walk Forward optimization ==== | ==== Walk Forward optimization ==== | ||
- | **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 this type of analysis to decrease the over-optimized parameters used in the investment strategy as we don’t want only a great looking backtest result, we also want a system that doesn't fail in a live, real money account. |
Read more about it at [[eas-guide: | Read more about it at [[eas-guide: | ||
- | In the "Reactor" | + | In the Reactor context |
===== Perform robustness testing ===== | ===== Perform robustness testing ===== | ||
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The [[eas-guide: | The [[eas-guide: | ||
- | We have 6 markets on the example above and the validation threshold is 3. That means that if 3 or more tests finish | + | We have 6 markets on the example above and the validation threshold is 3. That means that if 3 or more tests end on profit, the strategy will ascend to the Collection. |