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WARNING: MC 8.5 walk forward optimizer is FLAWED


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WARNING: MC 8.5 walk forward optimizer is FLAWED

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  #41 (permalink)
London/UK
 
 
Posts: 56 since Apr 2013


Big Mike View Post
Fine. You should meet him then, he lives within a couple miles of you, and also posts the same stuff about Amibroker as you. Quite a coincidence.

I also noticed you/he whatever just joined Elite Trader, or at least registered a new handle there, and was also writing about Amibroker.

?

That guy whoever you mean is Masterbrain? Where did you get that from? And where did Masterbrain attack anyone on elitetrader if looking at his 4 posts? And what's it got to with this thread and my proper criticism?

Do you have enough money for a a flight ticket to Europe? I again invite you to meet here. No need to study Polish because I don't speak Polish at all. And just in case you don't know Central Europe is a small place in comparison to America. A few miles from here to there is like from one border to another.

EDIT: Any more last comments from myself here

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  #42 (permalink)
San Jose
 
Experience: Intermediate
Platform: NinjaTrader, Esignal
Trading: Stocks
 
Posts: 107 since Jan 2012
Thanks: 40 given, 21 received

Ok guys PLEASE lets get on to the point.... Its a very serious issue being talked about in this thread.

If we cannot find a good backtester, or if we discover that the major products (for me thats NINJA, MC, and AMIBROKER) -- and yes I own all 3... Are all flawed.. what do we do?

i was really hoping to optimize and walk forward test to come up with some good automated trade plans.. Is this feasible?

Perhaps I need to rethink all of this, and then realize that perhaps scans are the way to go, to find potential setups and then go in for discretionary trading.

Anyway, its a sad realization that there are serious flaws in software that cost quite a lot of money.

Can we not argue about things, and please get to the point, again, its really serious, as I am putting in a boatload of hours learning how to code systems and if I cant test them properly it sounds like a futile exercise...

Please Mike, I humbly request you keep this thread alive so we can explore this. I know you are having an argument or something with another poster - (yes i understand you must protect your site and have it held to the highest level of integrity). I am just worried this bashing will cause you to close this important thread, and I hope you wont.

I really think futures.io (formerly BMT) is a treasure and am so happy it exists. I hope that this very important thread can shed some light on this very critical problem.

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  #43 (permalink)
seoul, Korea
 
Experience: Intermediate
Platform: Multicharts
Broker: CQG, DTN IQfeed
Trading: YM 6E
 
treydog999's Avatar
 
Posts: 896 since Jul 2012
Thanks: 291 given, 1,023 received



KhaosTrader View Post
Ok guys PLEASE lets get on to the point.... Its a very serious issue being talked about in this thread.

If we cannot find a good backtester, or if we discover that the major products (for me thats NINJA, MC, and AMIBROKER) -- and yes I own all 3... Are all flawed.. what do we do?

i was really hoping to optimize and walk forward test to come up with some good automated trade plans.. Is this feasible?

Perhaps I need to rethink all of this, and then realize that perhaps scans are the way to go, to find potential setups and then go in for discretionary trading.

Anyway, its a sad realization that there are serious flaws in software that cost quite a lot of money.

Can we not argue about things, and please get to the point, again, its really serious, as I am putting in a boatload of hours learning how to code systems and if I cant test them properly it sounds like a futile exercise...

Please Mike, I humbly request you keep this thread alive so we can explore this. I know you are having an argument or something with another poster - (yes i understand you must protect your site and have it held to the highest level of integrity). I am just worried this bashing will cause you to close this important thread, and I hope you wont.

I really think futures.io (formerly BMT) is a treasure and am so happy it exists. I hope that this very important thread can shed some light on this very critical problem.

There are serious flaws with almost every software solution i have seen. Or atleast problomatic things that must require work around.

Like i said before. if you do your walk forward optimization or testing, MANUALLY. moving the window with the date setting in the instrument panel. You get reliable and repeat able results in Multicharts. If you rely solely on the automatic walk forward optimizer. yes I believe that they are miss representing the robustness of their platform. and yes it is a major selling point which i think they are basically cheating people on until it becomes 100% reliable. Then your going to have some windows that do not give you results you can repeat using coded date/time flags or the date settings in the instrument panel.

You can verify each window of the WFO by using the time/date panel, adding in the max bars back setting to compensate for lead up, and using the settings given by the optimizer. Some windows will verify results 100% some will not. But the ones that don't are relatively close, 1 trade off using this method. I believe its from trades crossing windows of the optimizer and how they are dealt with. But never was 100% cleared up by tech support or the "engineers" at MC. Also coded time and date flags do not work well at all. Which is a big hunk of BS if you ask me. Since they work 100% in tradestation which is what MC is based on.

I haven't found it to be so troublesome to give up automation. That is not what this thread is about. Actually Its more about understanding the platform your using, its limitations and knowing your results well enough that you believe in them. Not just relying on what a platform spits out when you press optimize or run. I still use multicharts and am still developing strategies on it.

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  #44 (permalink)
san jose
 
 
Posts: 1 since Oct 2013
Thanks: 0 given, 0 received

Every platform has its querks. I have recently been making suggestions to NinjaTrader's forum how to fix their WFO open trade boundary handling. Which may or may not be an issue in MC WFO too. Simply NJ WFO exits any open trade on the boundary bar.

This approach makes NJ WFO become part of the strategy logic, which means the NJ WFO is absolutely worthless at best and dangerous at worst.

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  #45 (permalink)
Seattle
 
Experience: Intermediate
Platform: MultiCharts 10
Broker: InteractiveBrokers, IQFeed
Trading: ES
 
Posts: 56 since Nov 2015
Thanks: 19 given, 2 received

Hello all,

I know this thread is dated but I'm interested to find out if either MC or NT has addressed any of these issues in a subsequent release?

As in.....is WFO reliable.

GuppyDRV

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  #46 (permalink)
San Diego, USA
 
Experience: Intermediate
Platform: MC
Trading: All
 
Posts: 48 since Aug 2016
Thanks: 7 given, 14 received

It looks like MC is having problems. Not sure if they have been resolved since then.
But what about TS WF, is it ok, no flaws? Any feedback is appreciated.

@treydog999 - can you comment on any solutions you have found to date?

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  #47 (permalink)
Seattle
 
Experience: Intermediate
Platform: MultiCharts 10
Broker: InteractiveBrokers, IQFeed
Trading: ES
 
Posts: 56 since Nov 2015
Thanks: 19 given, 2 received

Hello all,

I'm interested in the boundary bar issue. As I understand this concept as it applies to WFO it would force an exit on the boundary bar of each OOS period. I'm now using MultiCharts and am interested if anyone has any insight as to how MC handles the bound bar issue? Obviously I'm trying to get a more accurate representation with WFO as many trades span one walk forward period to the next. So if an exit is forced at the boundary I would expect my results to be inaccurate.

Any help with understanding this would be greatly appreciated. I'm also interested to learn from users of NT or Amibroker how those platforms are handling this issue. Additionally, if MC is forcing and exit is there a work around that can be be hard coded that addresses this?

GuppyDRV

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March 9, 2017


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