Walkforward Analysist , Walkbackward Analysist, Curvefitting : To Gain Ultimate Robustnest in Esential Way

[Rachmat Sadikin]

in 2014 i do WFA,

tons of learning also in asirikuy about how robust is WFA method, trade on open bar only, etc2

but its an effort too much, i always WFA my EA for weeks or month. And an Open Bar EA surely had long stagnant Drawdown period.

As at the end , im coming to my own conclusion, continous WFA is also curve fitting it self. In a different way.

I even see another silly method "WALKBACKWARD analysist" LMAO Hahahahah.

Hey, i mean it in esential way,

If we curve fit the last period, and we test the ea in the oldest period as out of sampling, it also an OUT OF SAMPLING METHOD

Even lanchester the developer of Multiple ea do that. Optimized for last 6 month, but make sure the results in the early year also profitable.

In early years period means = OUT OF SAMPLE.

No mater what we trade in the past or future, esentially it still OOS for testing robustness

In WFA The Best Out of sample we pick, is the best that we choose to live trade.

So whats different than curve fitting??

The results in Live trade, the market always change beyond our expectation.

Even with continous development.

The last market behaviour is the least we could adapt with our optimization.

Even i know a friend works in a real Financial Institution, a 20 years trading experience in a hedge fund. 

From what i see, the way he do to adapt market change is no different than curve fitting.

Im not saying WFA is a wrong method, i also still had WFA tools, but rarely using it now.

So, as a simple statistic approach, why dont we build a most robust system that all in sample data we could had?

Even it tooks hundreds hour for a single curency. (With TickData also now!)

The more sample we optimized is the more statisticly robust proven. No matter what the market behavior change, historicly some of it repeated itself.

Market Trade only know 4 behaviour : Trend, Reversal, Breakout, and Ranging. Only the volume volatility that changing.

Then i optimized all the historical data as robust at we can with as much data as i had.

And build porftolio with those 4 character inside to minimize stagnant period. And took every chance in every condition change.

Then picking up the best KPI from it optimization results.

Such as Profit factor, CAGR, etc. But Not get too shiny on the score itself, since those Profit Factor, CAGR, Payoff, etc always had flaws statisticly

So i pick with the most trades as posible first, that mean the more data, more sample and most market condition as we could had.

Run montecarlo, stagnancy period, drawdown % and period analysis with the risk that we could stomach.

And dont change the rules and system before that max risk happened. Wich mean market still in our portfolio prediction.

(So actually i do WFA also now, but my out of sample is a live trade. LOL. Kidding)

However this is my personal conclusion. Dont pick it if you dont walk the path yourself.

Im not bashing out Asirikuy with WFA approach, but i felt like im wasting times backthen sticking to others personal rules to build a systems.

But however, he build a great platform and different insight.

No matter what system we build, tick scalping, swing, to long trend trading, or even a Grid.

Whatever approach we choose,  Even now im doing curve fitting to "latest market condition" approach. From the base parameters that already robust entire period as much i can have. And back using TDS Variable spreads ON.

As It IS the "TRUE real market condition". Not open bar.

At the end of the day, we trade to made money.

Not to be a smart academicly.

So for me the hints is as i mention above "Run the system with the max risk we could stomach with".

No matter we use WFA or Curve fitting the whole period method.

Managing Risk first, then profits follow.

Cheers,

My two cents

Once again : this is my personal conclusion. Dont pick it if you dont walk the path yourself.

[Rachmat Sadikin]

any one?

[Rachmat Sadikin]

 BEST WAY TO TREAT EA Portofolio : Risk Weighting, 12 Curency porto. Keep optimizing fo curvefitting all time??

 

Im a MAM and PAMM manager trading in multi broker house

 

We hoping to built system as robust as posible

so we can leave it alone 24/7/365 days

 

but what i found is 

https://www.mql5.com/en/forum/370289

 

Yes, there no such a thing as WFA robustnest guarantee,

If WFA posible as out of sample,

So Does WBA , Walk Back Ward Analysis, its still out of sample

 

Do it with your TICK DATA broker that differ EACH!

Live Spread, Slippage Simulation,

YEAHH! Thats when OUR Wife started to leave us by ourself never going out in weekend!

LMAO

 

This is where our duty END statistically whatever tools and coding we do!

 

 

 

But at least with Portfolio Analyzer you should had it, we can find projection in monte carlo, if our system is already breach the max drawdown and stagnant area

 

 

 

 

 

NEXT !!!!!!!!!!!!

 

I have simple Solution wich i practice and work in live trade!

We dont need recode EA changing strategy multiple times!

 

 

Just Curve Fit The RISK Weighting for Each Curency!

And Use Monte Carlo back for predictig Worst Case Scenario

 

 

 

The logic is KISS Keep it simple and stupid :

Whatever we did to Our Strategy is traning the system to be adapt with each Curency

Each curency depent on Fundamental decicission 

Thats where Pattern began and change

Drawdown and stagnatn period happened during those change

 

But not every country curency or CFD had the same moment of fundamental change,

Even in Covid 2020 era

If we had 12 curency running! 4 in Drawdown moment that those country still doing some policy to do. lets say 8 running Good !

 

We lowering the risk of the 4, until those 4 went back on track

We rising the risk of the rest of 8, until they start going wrong by our statistic measure

 

But Use Portofolio Analyzer as your bench mark on the New Curve fitted Risk,

So we know, if WCS breach, we do Re-Curvitting more!

 

 

This is never ending Cuve fitting i know, Exhausting right?

But, believe in me, i know you guys never leave your PC, desktop etc, even you have already had 24:! Profit factor system

 

So,

By doing this way, I climbing up the roller coaster faster than the MonteCarlo WCS Worscasescenario

 

 

Thanks God! 

 

My Private MAM keep going strong in this Covid and Coin transistion Era

And Now im living bigger from FX rather than my Automotive Business

 

I eat MAM nd PAMM Fee bigger than my own profit!

Client Profit, me profit

 

Every one happy

 

 

 

 

 

 

Just My 2 Cent!

 

 

 

 

 

 

 

 

 

 

 

 

NB : NEver publish your strategy description detail in any forum, even to calm down or supporting client there

Brokers do spy on us, and silly things like 15-25 pips slippage always happened after i reveal some algo change in any forum and social media