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simoncs
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simoncs 2014.02.13 01:54 

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
Moderator
5394
Ubzen 2014.02.13 06:35  
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
321
simoncs 2014.02.13 20:21  
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?

/
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