Market / MetaTrader 4 / Utilities /

WalkForwardReporter

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Published: 15 August 2016

Current version: 1.8

WalkForwardReporter

Utilities
Stanislav Korotky
Version: 1.8
Updated: 24 October 2018

WalkForwardReporter is a script creating HTML reports from walk-forward optimization results generated by WalkForwardOptimizer (WFO) library. It allows you to easily view and analyze your expert adviser (EA) performance and robustness in unknown trading conditions of future. You may find more details about walk-forward optimization in Wikipedia.

Once you have performed optimization using WFO, the library generates a CSV-file and special global variables with resulting data. Copy the CSV-file from the tester's Files folder into MQL4/Files folder and run the script with default parameters. This builds an html-page with overview of the optimization and also saves the related global variables into GVF-file. In future you may build different reports (drilldowns) from the same resulting data, even if the global variables will be deleted, just by specifing the GVF-file as the 1-st parameter of the script. Until the global variables are intact, you can build drilldowns without mentioning GVF-file.

The names of GVF and HTML files correspond to CSV-file name in global variables, initially specified in EA input wfo_outputFile.

Parameters

InputVariablesFile - a name of GVF-file to use; if empty (by default), global variables are checked for latest available data;
WindowSize - specific window size (days) to use for drilldown; must be one of values used during optimization; by default - 0, meaning cluster overview or auto-detection;
StepSize - specific forward step size (percent or days) to use for drilldown; must be one of values used during optimization; by default - 0, meaning cluster overview or auto-detection;
ClearWFGlobalVariables - a boolean flag; if true, the script deletes "WF_"-global variables at the end of its run; by default - false; the global variables should be cleared before you start next optimization with WFO.

Report types

Depending from input parameters given for WFO library, WFR can generate different report types from the resulting data.

Standard walk-forward report with a table of passes containing performance indicators for in-sample and out-of-sample periods in the same row, and overall performance for entire aggregated forward period. The report is generated for rolling walk-forward analysis and as a drilldown for cluster analysis (in the later case WindowSize and StepSize parameters should be specified as existing column and row indices of cluster table).
Cluster report with a set of tables, containing annualized profit, efficiency, consistency, completeness, and number of days in step for selected combinations of window sizes and forward step sizes. This report is generated after clustered walk-forward optimization, if drilldown is not used (WindowSize and StepSize remains 0 by default).
Anchored walk-forward report is similar to standard report except for that window size changes in every pass (row).

Standard and anchored reports show pass number in the 1-st column. Until MetaTrader 4 is closed you may check every single pass by opening Optimization Results tab in the tester, double-clicking a row with required pass number - this will select optimal inputs from this pass into EA, so you can then start a test run.

In standard reports, in-sample optimization data is highlighted with blue color, and out-of-sample data - with yellow. If the latest pass contains forward step overlapping with current time it's highlighted in green, indicating that this is the latest known parameters applicable for trading right now.

Performance indicators

Annualized profit is a hypothetical profit which EA could earn in a year if optimization period profit and forward period profit are re-scaled proportionally to their length.

Efficiency is a ratio of annualized profits of forward and back periods.

Consistency is a fraction of profitable forward passes in aggregated forward period.

Completeness shows how many rolling passes was performed for specified combination of optimization window size and forward step size, can be less than requested number during genetic optimization, because this method skips some parameters values.

Number of days is suitable for converting step size in percent into days.

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This indicator displays volume delta (of either tick volume or real volume) encoded in a custom symbol, generated by special expert advisers, such as RenkoFromRealTicks . MetaTrader does not allow negative values in the volumes, this is why we need to encode deltas in a special way, and then use CustomVolumeDelta indicator to decode and display the deltas. This indicator is applicable only for custom instruments generated in appropriate way (with signed volumes encoded). It makes no sense to ap

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If you like trading by candle patterns and want to reinforce this approach by modern technologies, this indicator and other related tools are for you. In fact, this indicator is a part of a toolbox, that includes a neural network engine implementing Self-Organizing Map (SOM) for candle patterns recognition, prediction, and provides you with an option to explore input and resulting data. The toolbox contains: SOMFX1Builder - a script for training neural networks; it builds a file with generalize

75 USD

This indicator is an extended implementation of Weis waves. It builds Weis waves on absolute volumes (which is the classical approach) or delta of volumes (unique feature) using different methods of wave formation and visualization. It works with real volumes, if available, or with tick volumes otherwise, but also provides an option to use so called "true volume surrogates", as an artificial substitution for missing real volumes (for example, for Forex symbols), which was introduced in correspo

49 USD

This indicator compares the price changes during the specified period for the current symbol and other reference symbol. It allows to analyze the similar movements of highly correlated symbols, such as XAUUSD and XAGUSD, and find their occasional convergences and divergences for trading opportunities. The indicator displays the following buffers: light-green thick line - price changes of the current symbol for TimeGap bars; light-blue thin line - price changes of the reference symbol ( LeadSymbo

FREE

Order Book, known also as Market Book, market depth, Level 2, - is a dynamically updated table with current volumes of orders to buy and to sell specific financial instument at price levels near Bid and Ask. MetaTrader 5 provides the means for receiving market book from your broker, but in real time only, without access to its history. This expert adviser OrderBook History Playback allows you to playback the market book events on the history using files, created by OrderBook Recorder . The exper

FREE

This is an adaptive ZigZag based on modification of HZZ indicator (original source code is available in this article ). Most important changes in this version: two additional indicator buffers added for zigzag evolution monitoring - they show cross signs at points where zigzag direction first changes; zigzag range (H) autodetection on day by day basis; time-dependent adjustment of zigzag range. Parameters: H - zigzag range in points; this parameter is similar to original HZZ, but it can take 0

FREE

Most of traders use resistance and support levels for trading, and many people draw these levels as lines that go through extremums on a chart. When someone does this manually, he normally does this his own way, and every trader finds different lines as important. How can one be sure that his vision is correct? This indicator helps to solve this problem. It builds a complete set of virtual lines of resistance and support around current price and calculates density function for spatial distributi

30 USD

Ever wondered why standard ADX is made unsigned and what if it would be kept signed? This indicator gives the answer, which allows you to trade more efficient. This indicator calculates ADX values using standard formulae, but excludes operation of taking the module of ADX values, which is forcedly added into ADX for some reason. In other words, the indicator preserves natural signs of ADX values, which makes it more consistent, easy to use, and gives signals earlier than standard ADX. Strictly s

30 USD

Classical ADX revamped to provide faster and more solid trading signals. This indicator calculates ADX values using standard formulae, but excludes operation of taking the module of ADX values, which is forcedly added into ADX for some reason. In other words, the indicator preserves natural signs of ADX values, which makes it more consistent, easy to use, and gives signals earlier than standard ADX. Strictly speaking, any conversion to an absolute value destroys a part of information, and it mak

30 USD

WalkForwardDemo is an expert adviser (EA) demonstrating how the built-in library WalkForwardOptimizer (WFO) for walk-forward optimization works. It allows you to easily optimize, view and analyze your EA performance and robustness in unknown trading conditions of future. You may find more details about walk-forward optimization in Wikipedia . Once you have performed optimization using WFO, the library generates special global variables (saved in an "archived" file with GVF-extension) and a CSV-f

FREE

This indicator provides a statistical analysis of price changes (in points) versus time delta (in bars). It calculates a matrix of full statistics about price changes during different time periods, and displays either distribution of returns in points for requested bar delta, or distribution of time deltas in bars for requested return. Please, note, that the indicator values are always a number of times corresponding price change vs bar delta occurred in history. Parameters: HistoryDepth - numbe

FREE

If you like trading by candle patterns and want to reinforce this approach by modern technologies, this script is for you. In fact, it is a part of a toolbox, that includes a neural network engine implementing Self-Organizing Map (SOM) for candle patterns recognition, prediction, and provides you with an option to explore input and resulting data. The toolbox contains: SOMFX1Builder - this script for training neural networks; it builds a file with generalized data about most characteristic pric

FREE

This is a demo version of a non-trading expert , which utilizes so called the custom symbols feature ( available in MQL as well ) to build renko charts based on historical quotes of selected standard symbol and to refresh renko in real-time according to new ticks. Also it translates real ticks to the renko charts, which allows other EAs and indicators to trade and analyze renko. Place the EA on a chart of a working instrument. The lesser timeframe of the source chart is, the more precise resulti

FREE

The indicator calculates running total of linear weighted returns. It transforms rates into integrated and difference-stationary time series with distinctive buy and sell zones. Buy zones are shown in blue, sell zones in red. Parameters: period - number of bars to use for linear weighted calculation; default value - 96; smoothing - period for EMA; default value - 5; mode - an integer value for choosing calculation mode: 0 - long term trading; 1 - medium term trading; 2 - short term trading; defa

FREE

Order Book, known also as Market Book, market depth, Level 2, - is a dynamically updated table with current volumes of orders to buy and to sell specific financial instument at price levels near Bid and Ask. MetaTrader 5 provides the means for receiving market book from your broker in real time. The expert OrderBook Recorder records market book changes and stores them in local files for further usage in indicators and expert adviser, including testing in the tester. The expert stores market book

FREE

OrderBook Utilities is a script, which performs several service operations on order book hob-files, created by OrderBook Recorder . The script processes a file for work symbol of the current chart. The file date is selected by means of the input parameter CustomDate (if it's filled in) or by the point where the script is dropped on the chart. Depending from the operation, useful information is written into the log, and optionally new file is created. The operation is selected by the input parame

FREE

This indicator shows price changes for the same days in past years. D1 timeframe is required. This is a predictor indicator that finds D1 bars for the same days in past 8 years and shows their relative price changes on the current chart. Parameters: LookForward - number of days (bars) to show "future" price changes; default is 5; Offset - number of days (bars) to shift back in history; default is 0; ShowAverage - mode switch; true - show mean value for all 8 years and deviation bounds; false - s

FREE

This indicator shows price changes for the same days in the past. This is a predictor that finds bars for the same days in past N years, quarters, months, weeks, or days (N is 10 by default) and shows their relative price changes on the current chart. Number of displayed buffers and historical time series for comparison is limited to 10, but indicator can process more past periods if averaging mode is enabled (ShowAverage is true) - just specify required number in the LookBack parameter. Paramet

30 USD

This non-trading expert utilizes so called custom symbols feature ( available in MQL as well ) to build renko charts based on historical quotes of selected standard symbol and to refresh renko in real-time according to new ticks. Also, it translates real ticks to the renko charts, which allows other EAs and indicators to trade and analyze renko. Place RenkoCharts on a chart of a work instrument. The lesser timeframe of the source chart is, the more precise resulting renko chart is, but the lesse

49 USD

This script allows performing a walk-forward analysis of trading experts based on the data collected by the WalkForwardLight MT5 library. The script builds a cluster walk forward report and rolling walk forward reports that refine it, in the form of a single HTML page. This script is optional, as the library automatically generates the report immediate after the optimization in the tester is complete. However, the script is convenient because it allows using the same collected data to rebuild th

FREE

This indicator predicts rate changes based on the chart display principle. It uses the idea that the price fluctuations consist of "action" and "reaction" phases, and the "reaction" is comparable and similar to the "action", so mirroring can be used to predict it. The indicator has three parameters: predict - the number of bars for prediction (24 by default); depth - the number of past bars that will be used as mirror points; for all depth mirroring points an MA is calculated and drawn on the ch

30 USD

If you like trading crosses (such as AUDJPY, CADJPY, EURCHF, and similar), you should take into account what happens with major currencies (especially, USD and EUR) against the work pair: for example, while trading AUDJPY, important levels from AUDUSD and USDJPY may have an implicit effect. This indicator allows you to view hidden levels, calculated from the major rates. It finds nearest extremums in major quotes for specified history depth, which most likely form resistence or support levels, a

30 USD

The indicator displays most prominent price levels and their changes in history. It dynamically detects regions where price movements form attractors and shows up to 8 of them. The attractors can serve as resistance or support levels and outer bounds for rates. Parameters: WindowSize - number of bars in the sliding window which is used for detection of attractors; default is 100; MaxBar - number of bars to process (for performance optimization); default is 1000; when the indicator is called from

30 USD

This is an intraday indicator that uses conventional formulae for daily and weekly levels of pivot, resistance and support, but updates them dynamically bar by bar. It answers the question how pivot levels would behave if every bar were considered as the last bar of a day. At every point in time, it takes N latest bars into consideration, where N is either the number of bars in a day (round the clock, i.e. in 24h) or the number of bars in a week - for daily and weekly levels correspondingly. So,

30 USD

The indicator draws a histogram of important levels for several major currencies attached to the current cross rates. It is intended for using on charts of crosses. It displays a histogram calculated from levels of nearest extremums of related major currencies. For example, hidden levels for AUDJPY can be detected by analyzing extremums of AUD and JPY rates against USD, EUR, GBP, and CHF. All instruments built from these currencies must be available on the client. This is an extended version of

30 USD

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Version 1.8 2018.10.24

Large step value overflow bug fix.

Version 1.7 2017.05.31

Improved the generation of the HTML-page: cluster report is supplemented by refining rolling reports, names of optimized parameters are shown, and other minor changes.

Version 1.6 2016.10.14

Fixed the zero divide error, which occurred at certain rudimentary data.

Version 1.5 2016.09.13

Bug fixes.

Version 1.4 2016.09.01

- processing of large csv files and memory consumption are significantly optimized;
- calculation of performance indicators is fixed for forward tests partially exceeding the ending date of test period.
- if a user enters wrong numbers for window or steps size, the script generates the error message in html file instead of an empty table.

Version 1.2 2016.08.29

Improved corrupted data error handling.