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walk forward optimization

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chinaski
890
chinaski 2012.08.20 19:19 

Looking for a walk forward optimization tool for MT5.

Thank you 

Pawel Wojnarowski
685
Pawel Wojnarowski 2012.08.20 19:34  
chinaski:

Looking for a walk forward optimization tool for MT5.

Thank you 

Walk-forward testing is available in MT5 strategy tester --> http://www.metatrader5.com/en/terminal/help/tester/tester_using/forward_testing
chinaski
890
chinaski 2012.08.21 01:01  

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
890
chinaski 2012.08.21 22:07  

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
685
Pawel Wojnarowski 2012.08.21 22:38  
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
890
chinaski 2012.08.22 01:44  
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
2782
XuWei Li 2012.08.22 05:53  

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
3654
Youri Tarshecki 2015.08.03 13:56  
I already made such a programe. Unfortunatly it`s emulation based one.
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