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walk forward optimization

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chinaski
977
chinaski  

Looking for a walk forward optimization tool for MT5.

Thank you 

Pawel Wojnarowski
683
Pawel Wojnarowski  
chinaski:

Looking for a walk forward optimization tool for MT5.

Thank you 

Walk-forward testing is available in MT5 strategy tester --> https://www.metatrader5.com/en/terminal/help/testing
chinaski
977
chinaski  

Thank you,

yes, already saw this. However, i am looking for a periodically setup over the whole test period, for instance:

optimize 3 trading days, apply 5 trading days, move optimization period, repeat.

Right now, you can only optimizes one and apply once.

chinaski
977
chinaski  

Hello MetaQuotes:

is it possible to implement a periodical forward backtest:

Select optimization interval (backtest) and select application interval (forward backtest).

This would be great help. You could see, if one week of optimization then applicate result for next week, optimize next week, applicate for over-next weekt, and so on

would have worked over the past 10 years. 

Pawel Wojnarowski
683
Pawel Wojnarowski  
chinaski:

Hello MetaQuotes:

is it possible to implement a periodical forward backtest:

Select optimization interval (backtest) and select application interval (forward backtest).

This would be great help. You could see, if one week of optimization then applicate result for next week, optimize next week, applicate for over-next weekt, and so on

would have worked over the past 10 years. 

+1

MetaQuotes - this would be great, indeed. To visualize chinaski's request, just an example: 

 Walk-Forward Optimization 

chinaski
977
chinaski  
Enigma71fx:

+1

MetaQuotes - this would be great, indeed. To visualize chinaski's request, just an example: 

  

Hello Enigma,

thank you for supporting me.

In- and out- sample size should be free selectable. For instance in=4 hours, out=24 hours...

XuWei Li
2796
XuWei Li  

This's what some neutral network algorithm implements.

Always can use a library to do it.

If it's going to be built-in, that's always a good news. 

Youri Tarshecki
3641
Youri Tarshecki  
I already made such a programe. Unfortunatly it`s emulation based one.
shloss
257
shloss  
Pawel Wojnarowski:

+1

MetaQuotes - this would be great, indeed. To visualize chinaski's request, just an example: 

  


+1

@Metaquotes: this feature implemented inside MT5 strategy tester would give another major reason to migrate from MT4...

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