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Discussion of article "Continuous Walk-Forward Optimization (Part 1): Working with Optimization Reports"

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New article Continuous Walk-Forward Optimization (Part 1): Working with Optimization Reports has been published:

The first article is devoted to the creation of a toolkit for working with optimization reports, for importing them from the terminal, as well as for filtering and sorting the obtained data. MetaTrader 5 allows downloading optimization results, however our purpose is to add our own data to the optimization report.

This part is devoted to the creation of a toolkit for working with optimization reports, for importing them from the terminal, as well as for filtering and sorting the obtained data. To provide a better presentation structure, we will use the *xml file format. Data from the file can be read by both humans and programs. Moreover, data can be grouped in blocks inside the file and thus the required information can be accessed faster and easier.

Our program is a third-party process written in C# and it needs to create and read created *xml documents similarly to MQL5 programs. Therefore, the report creation block will be implemented as a DLL which can be used both in MQL5 and C# code. Thus, in order to develop an MQL5 code, we will need a library. We will first describe the library creation process, while the next article will provide description of the MQL5 code that works with the created library and generates optimization parameters. We will consider these parameters in the current article.

Report Structure and Required Ratios

As already shown in previous articles, MetaTrader 5 can independently download the report of optimization passes, however it does not provide as much information as the report generated on the Backtest tab after completion of a test with a specific set of parameters. In order to have greater scope in working with optimization data, the report should include many of the data displayed on this tab, as well as provide for the possibility to add more custom data to the report. For these purposes, we will download our own generated reports instead of the standard one. Let's start with the definition of three data types required for our program:

  • Tester settings (the same settings for the whole report)
  • Trading Robot settings (unique for each optimization pass)
  • Coefficients describing the trading results (unique for each optimization pass)

Author: Andrey Azatskiy

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