Walk-Forward Products Overview

3 June 2017, 20:18
Stanislav Korotky

MetaTrader's tester allows us to run walk-forward analysis in different ways. Among them, two custom approaches are implemented and available as corresponding product lines for MT4 and MT5. First - WalkForwardOptimizer (WFO) - is more powerful and flexible, yet more complicated and resource consuming. Second - WalkForwardLight (WFL) - is more simple and easy to use.

Product MT4 MT5

WFO: WalkForwardOptimizer & WalkForwardReporter (user guide)

https://www.mql5.com/en/market/product/17750 (not needed,
MT5 WFO library builds reports automatically)
Expert Adviser
(not available) https://www.mql5.com/en/market/product/23069

WFL: WalkForwardLight & WalkForwardBuilder (user guide)

https://www.mql5.com/en/market/product/23223 https://www.mql5.com/en/market/product/23224
https://www.mql5.com/en/market/product/23225 https://www.mql5.com/en/market/product/23226

Click on an icon leads to corresponding product page.

Advatanges of MT5 versions of the product over MT4 versions

  • MT5 versions create files with meta-data in MQL5/Files folder automatically (MT4 version does this in the tester/Files and you should move them manually to MQL4/Files, before you run the reporter script);
  • MT5 versions build html-reports automatically, so there is no need to have the reporter script and run it manually (as it is in MT4); though the reporter can be used in WFL to quickly rebuild report using another optimization criterion (without re-optimization in the tester - this is a unique WFL feature);
  • MT5 version takes care of deleting old WF-global variables (MT4 versions do this semi-automatic, on timeout, if it's programmed so);
  • MT5 versions detect EA parameters (names and values) automatically (MT4 versions require you to provide this information in your code);
  • MT5 supports optimization in multiple threads (cores).

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