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The Walk-Forward optimization in MultiCharts


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  #1 (permalink)
ShahramTor
Onsala Sweden
 
Posts: 28 since Nov 2016
Thanks Given: 22
Thanks Received: 1

Hi,

I wonder how to interpret the result of the Walk-Forward optimization.

Attaching a sample.

Thanks in advance

Shahram


Attached Thumbnails
The Walk-Forward optimization in MultiCharts-walk-forward-sp500-esignal-segment-90-30.pdf  
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  #2 (permalink)
 GuppyDRV 
Seattle
 
Experience: Intermediate
Platform: MultiCharts 10
Broker: InteractiveBrokers, IQFeed
Trading: ES
Posts: 58 since Nov 2015
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I'm not sure what the "," in the results is for! Near 100% win on 40+ trades per period leads me to think the results are not accurate! I'm not slamming your system, I hope for nothing but the best for your trading. The results just look unrealistic.

I'll do some research, I'm interested in learning but I'm not an expert on Multicharts. I have used Ninja for the past 5 years.

GuppyDRV


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  #3 (permalink)
ShahramTor
Onsala Sweden
 
Posts: 28 since Nov 2016
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GuppyDRV View Post
I'm not sure what the "," in the results is for! Near 100% win on 40+ trades per period leads me to think the results are not accurate! I'm not slamming your system, I hope for nothing but the best for your trading. The results just look unrealistic.

I'll do some research, I'm interested in learning but I'm not an expert on Multicharts. I have used Ninja for the past 5 years.

GuppyDRV

"," is Swedish decimal ".". This file is just an example.
My problem is that I do not know how to read the results!
I get some rows with different optimized values for my parameters. Witch one should I use?


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  #4 (permalink)
 ABCTG   is a Vendor
 
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ShahramTor View Post
Witch one should I use?

ShahramTor,

use for what? The WFO basically tests your signal on a set of data then applies the found results to a set of data
not included in the first set. Then moves forward using a different set of data for the optimization (depending if you are using anchored or unanchored optimzation) and a new out of sample set etc..
This means you will end up with different results for each in sample/out of sample dataset.

There is a lot of theory on WFO here on NexusFi and going through it will likely answer your questions.

Regards,

ABCTG


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  #5 (permalink)
 joelbindi 
Broadwater
 
Experience: Intermediate
Platform: MultiCharts
Trading: FX
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if you compare Net Profit / Max Drawdown the results of the optimisation is not that good. You can set the optimisation to Custom Criteria and look for this function, if you get values over 3+ using this function is usually a decent risk reward.


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  #6 (permalink)
 RockyLee 
Quebec
 
Experience: Intermediate
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joelbindi View Post
if you compare Net Profit / Max Drawdown the results of the optimisation is not that good. You can set the optimisation to Custom Criteria and look for this function, if you get values over 3+ using this function is usually a decent risk reward.

As Joel stated, the NetProfit/Drawdown are way too high, especially in the OS period

One thing that bug me:

In the first line, the Gross Loss is way under the DrawDown, meaning that your system maybe waiting a little too long to take a lost


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Last Updated on September 12, 2017


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