I just generated a Issue to enhance the current replay mode.
Before the 8.7 Beta it was not possible to replay tick by tick in global mode.
Now it is, but there is still one feature missing.
I want to use MC for lets say training purposes, every sunday I do
training by replay a historic day in the market.
But it is right now not possible to get a realistic timeflow,
because it is only possible to make updates per second.
Therefore one update per second will lead to one tick per second two updates per second to two and so on.
Tick are coming on a irregular time therefore this way to replay will never lead to a realistic market simulation.
To solve that I initiated the following feature. MC-1391
If you are in the same situation, that you want to have a realistic replay market functionality in Multicharts.
Please vote for it.
As many guys know, I'm have been doing automated option trading in Multicharts. Please vote for my issue to help make Multicharts even more viable for automated options trading.
MC-1392 - Extracting Option Information from Quote Manager
Description and details
When you add an option symbol into quote manager, the quote manager stores many useful information regarding the option such as Contract Month, Contract Year, Expiration Date, Strike Price, Type - Call or Put, Symbol Root. Please allow us to extract information using powerlanguage. These fields are very useful and important for us doign automated option trading.
GetSymbolRootName- returns the symbol root name
GetContractMonth - returns the contract month
GetContractYear - returns the contract year
GetExpirationDate - returns the expiration date
GetStrikePrice - returns the strike price of option
GetOptionType - returns 0 for call and 1 put option
Description and details
I would like to see the Walk Forward Optimization Parameters for next Out of Sample period if incomplete. From what I understand the WFO report only shows complete periods.
For example your Walk forward might end 5/16/2013 the end of your data set is 6/30/2013. You might have a 300 day OOS or something that is larger than that time frame. So you will not get the current results. Even though the engine has all the information required to fill in up to the current date. As this will only occur at the last WFO window. So it already has enough bars back and historical data to optimize parameters.
So if we could see the currrent WFO window parameters and current trades taken, even if that window is not complete. That would be great.
I tried a work around but according to tech support, it is not possible to replicate that last window using the simple optimizer. since the WFO is so "complex" and it is by "design".
The example posted in images, the WFO ends at 9/20/2013 but our data set goes to 9/27/2013. the OOS in this period is 90 days. we have enough back data to generate parameters, and a current set of trades, and the rest of the results. However because the window did not complete all 90 days it does not appear in the results.
How to reproduce
Run a walkforward optimization where the end of the data set does not allow a complete OOS window to complete. you will always end up with a gap between the end date of your data and the last WFO window that completed.
The following user says Thank You to treydog999 for this post:
Walk forward optimization currently breaks up data into different IS/OSS segments. The trading strategy is only allowed access to the data in each segment. The approach causes many drawbacks and problems for strategy development.
When a strategy transits from one data segment to another, it must wait until it has enough data to calculate indicators before it can start trading. This results from not being able to access any data from the previous segment. Long look back periods, frequent recalibration, and small out of sample data window will all lower performance. As a result, many strategies will fail the walk forward test due to insufficient data rather than over fitting.
Ex. You’re running a simple moving average strategy with a look back period of 50 days. Your trading strategy must wait at least 50 days in each OSS segment before it can start trading.
Therefore, I would like to have the option to break IS/OSS into trading segments rather than data segments. This mean the trading strategy will have access to the all the historical data, but only allowed to trade on the dates of IS set being optimized on. Therefore, there is no longer a need to programmatically load different data segments. This version of WFO is much easier to program and implement.
The following user says Thank You to quantarb for this post: