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