WalkForwardLight MT5

This is a simplified and effective version of the library for walk forward analysis of trading experts. It collects data about the expert's trade during the optimization process in the MetaTrader tester and stores them in intermediate files in the "MQL5\Files" directory. Then it uses these files to automatically build a cluster walk forward report and rolling walk forward reports that refine it (all of them in one HTML file). Using the WalkForwardBuilder MT5 auxiliary script allows building other reports on the same intermediate data for other optimization criteria. This is convenient in that it eliminates the re-optimization step in the tester. The script is free.

There is a similar library for MetaTrader 4 - WalkForwardLight. It has fewer features, it requires performing part of the operations manually.

A detailed User's Guide is available in the blog.

The wfL.mqh header file

enum WFO_ESTIMATION_METHOD {wfo_profit, wfo_sharpe, wfo_pf, wfo_drawdown, wfo_profit_by_drawdown, wfo_profit_trades_by_drawdown, wfo_average};

input WFO_ESTIMATION_METHOD Estimator = wfo_profit;

#import "wfL.ex5"
  void wfl_OnTesterInit();
  void wfl_OnTesterPass();
  void wfl_OnTesterDeinit(const WFO_ESTIMATION_METHOD estimator);
  void wfl_OnInit();
  double wfl_OnTester();
  void wfl_OnTick();
#import

Example of use in an expert code

input bool EnableWFL = false;

#include <wfL.mqh>

int OnInit()
{
  // your working code
  // ...
  if(EnableWFL) wfl_OnInit();
  return(INIT_SUCCEEDED);
}

void OnTick()
{
  // your working code
  // ...
  if(EnableWFL) wfl_OnTick();
}

void OnTesterInit()
{
  if(EnableWFL) wfl_OnTesterInit();
}

void OnTesterPass()
{
  if(EnableWFL) wfl_OnTesterPass();
}

void OnTesterDeinit()
{
  if(EnableWFL) wfl_OnTesterDeinit(Estimator);
}

double OnTester()
{
  if(EnableWFL) return wfl_OnTester();
  return 0;
}