Create and Test Forex Strategies
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| eas-guide:walk-forward [2019/02/25 18:44] – vini | eas-guide:walk-forward [2019/02/25 18:52] – vini | ||
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| ===== Step through the Process | ===== Step through the Process | ||
| - | As you already know WFA consist on multiple optimization stages and to perform the analysis we need to do this within a time window, where we first have the optimization in a larger window (in-sample) and a test in a smaller window (out-of-sample). | + | As you already know WFA consist on multiple optimization stages and to perform the analysis we need to do this within a time window, where we first have the optimization in a larger window (in-sample) and a test in a smaller window (out-of-sample, unseen data). |
| During segment 1 all parameters combinations for the trading strategy will be tested (in-sample) and the parameter combination that is considered to be the most robust by the optimizer criteria will be used in the first ouf-of-sample segment. | During segment 1 all parameters combinations for the trading strategy will be tested (in-sample) and the parameter combination that is considered to be the most robust by the optimizer criteria will be used in the first ouf-of-sample segment. | ||
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| The process will be repeat until the optimizer has traversed the whole data history with a pre-established step selected in the **Options** and results of the out-of-sample results will be at the **Statistics** page. | The process will be repeat until the optimizer has traversed the whole data history with a pre-established step selected in the **Options** and results of the out-of-sample results will be at the **Statistics** page. | ||
| - | ===== Equity chart and Output===== | + | ===== Equity chart and Output ===== |
| Once the optimization has completed you can analyze the equity chart and the statistics to understand if the strategy has performed better or survive market dynamics changes. | Once the optimization has completed you can analyze the equity chart and the statistics to understand if the strategy has performed better or survive market dynamics changes. | ||
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| The example above was a successful result of a WFO. The strategy still performing on unseen data (out-of-sample). | The example above was a successful result of a WFO. The strategy still performing on unseen data (out-of-sample). | ||
| - | ==== Statistics ===== | + | ===== Statistics ===== |
| You can analyse the result on the tested segments and most relevant metric' | You can analyse the result on the tested segments and most relevant metric' | ||