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Continuous Walk Forward Analysis (CWFA)
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Continuous Walk Forward Analysis (CWFA)

  #1 (permalink)
Elite Member
Wayne, NJ USA
 
Futures Experience: Intermediate
Platform: Multicharts, Deltix DCS
Broker/Data: Interactive Brokers/IQ Feed
Favorite Futures: ETF Options
 
Posts: 41 since Oct 2012
Thanks: 7 given, 36 received

Continuous Walk Forward Analysis (CWFA)

Hi guys,

I created a thread on Continuous Walk Forward Analysis (CWFA) at the Multicharts forums. I described many of its advantages versus traditional Walk Forward Analysis (WFA), and how to implement the process in Multicharts. I'm unable to fully automated the process due to certain restrictions in Multicharts.

The CWFA I did takes using time flags to the extreme as my trading strategy uses over 120 different optimal parameter sets! Would love to know what you guys think, and hopefully we can get enough support to convince Multicharts to create a fully automated version of this feature.

Thread on CWFA
MultiCharts: Trading Software for Automated Trading and Backtesting ? View topic - Continuous Walk Forward Analysis (CWFA)

Project Management for CWFA
http://www.multicharts.com/pm/viewissue ... no=MC-1479

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  #2 (permalink)
Elite Member
Wayne, NJ USA
 
Futures Experience: Intermediate
Platform: Multicharts, Deltix DCS
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Posts: 41 since Oct 2012
Thanks: 7 given, 36 received

I figured out how to output the optimal parameter values for each out of sample day without having to refer to the WFO report. The problem is when I try to use ADE (All Data Everywhere) to store that output. For some reason, it won't store data when I asked so I can't figured out where I went wrong. Any help or suggestion would be greatly appreciated.

Input: Length(50), NumDevs(2), Optimization(True);
Variables:
varNumDevs(2), varLength(50),
Class(GetStrategyName), InfoMap(MapSN.New);

if Optimization = True then
begin
varLength = Length;
varNumDevs = NumDevs;

if LastBarOnChart and BarNumber <= 13 then
begin
Value1 = MapSN.Put(InfoMap, "Length", Length);
Value1 = MapSN.Put(InfoMap, "NumDevs", NumDevs);
Value1 = ADE.PutBarInfo(Class, GetSymbolName, 390, ADE.BarID, InfoMap);
end;
end else
begin
varLength = MapSN.Get(InfoMap, "Length");
varNumDevs = MapSn.Get(InfoMap, "NumDevs");
Value1 = ADE.GetBarInfo(Class, GetSymbolName, 390, ADE.BarID, InfoMap);
end;

if MarketPosition = 0 then
begin
Buy next bar at BollingerBand(Close, varLength, - varNumDevs) Limit;
end;

if MarketPosition = 1 then
begin
Sell next bar at BollingerBand(Close, varLength, varNumDevs) Limit;
end;

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  #3 (permalink)
Elite Member
wisconsin
 
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Platform: ninjatrader
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automating walk forward optimization


I have a strategy that produces great net profits and good profit factors > 2.0. However the WFO I use is optimizing a 3 day period and using the optimized parameters for the next trading day.

First, I need to know if I am missing something. I assume that such short WFOs are valid. My profit factor falls off rapidly with longer periods of WFO but not going below 1.

My question is: if my WFO results are valid, does anyone have a way to update the parameters of the strategy from the WFO results without manually updating? I am looking for a sort of screen scraper that will continuously update my strategy parameters on a daily basis. I am sure someone on this forum has run across this problem.


Thanks

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  #4 (permalink)
Elite Member
Wayne, NJ USA
 
Futures Experience: Intermediate
Platform: Multicharts, Deltix DCS
Broker/Data: Interactive Brokers/IQ Feed
Favorite Futures: ETF Options
 
Posts: 41 since Oct 2012
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augustco View Post
I have a strategy that produces great net profits and good profit factors > 2.0. However the WFO I use is optimizing a 3 day period and using the optimized parameters for the next trading day.

First, I need to know if I am missing something. I assume that such short WFOs are valid. My profit factor falls off rapidly with longer periods of WFO but not going below 1.

My question is: if my WFO results are valid, does anyone have a way to update the parameters of the strategy from the WFO results without manually updating? I am looking for a sort of screen scraper that will continuously update my strategy parameters on a daily basis. I am sure someone on this forum has run across this problem.


Thanks

I think your in-sample/training data should be longer than 3 days.

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  #5 (permalink)
 Vendor: tradingcode.net 
The Netherlands
 
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augustco View Post
My question is: if my WFO results are valid, does anyone have a way to update the parameters of the strategy from the WFO results without manually updating? I am looking for a sort of screen scraper that will continuously update my strategy parameters on a daily basis. I am sure someone on this forum has run across this problem.

One way to do this would be to recalculate the strategy for various inputs each day programmatically. By storing the statistic you base your WFO interpretation on (e.g., net profit) in a multiple-dimension array together with the input value, you could sort the array based on the statistic and pull the accompanying inputs from it.

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  #6 (permalink)
Trading for Profit
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Futures Experience: Intermediate
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quantarb
Hi

Have you had any good results with your CWFA and Multicharts ?

Seems like a great idea you have.

Shane

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