Create and Test Forex Strategies
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eas-guide:walk-forward [2019/02/25 18:52] – vini | eas-guide:walk-forward [2021/01/08 11:17] – Ilan Vardy | ||
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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" | 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" | ||
- | 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. | + | 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. |
===== 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 mentioned, |
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. | ||
- | The process will be repeat | + | The process will be repeated |
===== 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 | + | Once the optimization has completed you can analyze the equity chart and the statistics to understand if the strategy has performed better or survived |
- | {{ : | + | {{: |
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). | ||
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===== Statistics ===== | ===== Statistics ===== | ||
- | You can analyse the result on the tested segments and most relevant | + | You can analyse the result on the tested segments and most relevant |
- | ===== Options | + | ===== Settings |
- | Change the inputs for the analysis as: number of segments, out of sample, numeric values range and optimization goal. | + | Change the inputs for the analysis, such as: number of segments, out of sample, numeric values range and optimization goal. |
+ | |||
+ | ===== Parameters ===== | ||
+ | |||
+ | ==== Strategy parameters by segments ==== | ||
+ | |||
+ | Shows the numeric values of the indicators for each segment. | ||
+ | |||
+ | ==== Full backtest with last parameters ==== | ||
+ | When the Walk Forward is ready with all segments, it calculates a backtest against the full data series and the last parameters from the last segment. It shows the resulted Equity / Balance lines and the backtest stats. | ||
+ | |||
+ | ==== Edit button ==== | ||
+ | Using the **Edit** button, you copy the current strategy from the Walk Forward module to the Editor. This is useful if you want to export an EA with the last optimized parameters. | ||
+ | |||
+ | The " | ||
+ | * The full backtest fulfils the Common Acceptance Criteria. | ||
+ | * The new strategy is " | ||
+ | * All segments are valid according to the Walk Forward' | ||
===== Validation ===== | ===== Validation ===== |