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Create and Test Forex Strategies

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eas-guide:validator

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eas-guide:validator [2019/02/27 14:09]
Vinicius Barenho Pereira validator-toolbar.png && walk forward
eas-guide:validator [2019/05/02 13:06]
Vinicius Barenho Pereira
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 ===== Optimize strategies ===== ===== Optimize strategies =====
  
-==== Optimization ​====+==== Full Data optimization ​====
 {{:​eas-guide:​reactor-optimization.png?​nolink|Strategy Optimization }} {{:​eas-guide:​reactor-optimization.png?​nolink|Strategy Optimization }}
  
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 +==== Walk Forward optimization ====
  
-===== Robustness Testing =====+**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.
  
-With the previous tools you could check if the strategy is still profitable and attempt to make it more profitable. The tools below have a different goal. The robustness testing tools let you analyze how trustworthy a strategy is. This step is very important.+Read more about it at [[eas-guide:​walk-forward|Walk Forward]]
  
 +In the Reactor context you can apply this optimization to the strategy, if the WFO results (Out of Sample net) perform better than the original strategy (full data backtest) the last parameters used by the optimization will be accepted to the strategy.
  
 +===== Perform robustness testing =====
  
-==== Walk Forward Validation ==== +With the previous tools you could check if the strategy is still profitable and attempt ​to make it more profitable. The tools below have a different goal. The robustness testing tools let you analyze how trustworthy ​strategy is. This step is very important.
- +
-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 pre-established ​step. +
- +
-Read more about it at [[eas-guide:​walk-forward|Walk Forward]]+
  
 +==== 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 ==== ==== Monte Carlo Validation ====