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Walk Forward Analysis - is there an automated approach?

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simoncs
324
simoncs  

I have been all over the forum and read all the articles in Tester, but I can't seem to find much about how others may be achieving Walk Forward Analysis for their EA's with MT4.

I know there is a tool by Easy expert forex, but this tool unfortunately has limitations. Essentially it only seems to select the top (most profitable) pass and then move forward with that. As we know from optimization and curve fitting, this pass may not be the most appropriate to use. It may appear to be the most profitable, but run in Out of sample data it may not be, and in actual fact on of the less profitable pass results may be more stable in out of sample data. So you would need to rerun the process several times, making it a very manual effort.

From what I can see of other trading platforms, in their inbuilt WFA, they have the ability to run several result passes of the optimization through the WFA process (Out of sample data).

Have others been able to achieve this in an automated fashion?

I am hoping to get to the point where i can run WFA and then hopefully see how often I need to optimise my EA. (I read somewhere that using WFA may give an indication of this time period, though I am not sure how this is achieved -anyone?)

I think the closest example I have seen is via this article https://www.mql5.com/en/articles/1347

Is this how others are achieving this? Is there something that I have missed.

thanks

Simon

Ubzen
5394
Ubzen  
simoncs:

I have been all over the forum and read all the articles in Tester, but I can't seem to find much about how others may be achieving Walk Forward Analysis for their EA's with MT4.

I know there is a tool by Easy expert forex, but this tool unfortunately has limitations. Essentially it only seems to select the top (most profitable) pass and then move forward with that. As we know from optimization and curve fitting, this pass may not be the most appropriate to use. It may appear to be the most profitable, but run in Out of sample data it may not be, and in actual fact on of the less profitable pass results may be more stable in out of sample data. So you would need to rerun the process several times, making it a very manual effort.

From what I can see of other trading platforms, in their inbuilt WFA, they have the ability to run several result passes of the optimization through the WFA process (Out of sample data).

Have others been able to achieve this in an automated fashion?

I am hoping to get to the point where i can run WFA and then hopefully see how often I need to optimise my EA. (I read somewhere that using WFA may give an indication of this time period, though I am not sure how this is achieved -anyone?)

I think the closest example I have seen is via this article https://www.mql5.com/en/articles/1347

Is this how others are achieving this? Is there something that I have missed.

thanks

Simon

Yes that article is the closest thing you've got. You might look into post for easier ways of auto-mating the optimizer ... but thats about it. Everything else from there, you'll have to get creative.
simoncs
324
simoncs  
ubzen:
Yes that article is the closest thing you've got. You might look into post for easier ways of auto-mating the optimizer ... but thats about it. Everything else from there, you'll have to get creative.


hmmm with my coding skills :(

i am surprised that there isn't a solution - does that mean others are doing this manually? or not bothering at all?

Martyn Tinsley
124
Martyn Tinsley  
simoncs:

I have been all over the forum and read all the articles in Tester, but I can't seem to find much about how others may be achieving Walk Forward Analysis for their EA's with MT4.


Hi Simon

I realise a few years have passed since you posted your question, so you probably have an alternative solution by now. However, you might still (and others might) find my reply useful.

I shared your frustrations with the tools that were available to perform full walk forward analysis on MT4. The very limited number of options all seemed to have the issues that you talk of. Because I am a software developer I decided to write my own application to meet the need I had.

I have been using this application now myself very successfully for over a year. I have made the tool available to students I have been coaching and it was one of them that suggested I should sell the product.

After some consideration I decided to do that. This has meant a huge amount of additional work on my part to make the product into a commercially viable offering but I feel it will really be worth it. I think that this is a tool suitable for any serious algorithmic trader who wants to step up to the next level of back testing and optimization.

In terms of specifics, the tool I have developed addresses the issues you raised about the existing product on the market. It gives you the option to use ‘Intelligent’ selection of parameter combinations, which effectively looks for high plateaus in the parameter space, rather than the highest spike, which means the resulting walk forward tests on out-of-sample data are likely to produce better results and increases the robustness of the system overall.

I am also in the process of adding the ability for the application’s ‘Intelligent Advisor’ module. This will give the user advice on what the optimal periods for each stage of the WFA should be and what the ideal ‘optimization to backtest ratio’ should be, taking into account a balance between statistical significance (having enough data to be statistically significant) and recency effect (having more of a bias to recent data to tune the trading system into recent market conditions).

My aim is to make the product (which is called ‘Walk Forward Pro’ by the way) deliver the very best walk forward analysis capability available on the market (not just the best for MetaTrader, but the best there is out there for any product). For this reason I really welcome suggestions from anyone about product enhancements. Anything that makes the application better, is a good thing in my view and I will put in the work to continually improve it. The development of this product, in conjunction with my own trading has become my passion.

Anyway, take a look see what you think  <external link removed by moderator>

By the way, the product works with MT5 as well as MT4. 

Martyn

Stanislav Korotky
20324
Stanislav Korotky  
Martyn Tinsley:


To share you software here (in the forum) you should probably write an article about it or make a post in your blog. For example, here are solutions described in my blog - here and here.
Martyn Tinsley
124
Martyn Tinsley  
Stanislav Korotky:
To share you software here (in the forum) you should probably write an article about it or make a post in your blog. For example, here are solutions described in my blog - here and here.

Hi Stanislav. Ok I will do that. Thanks for the advice. Blog post on the way...

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