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The Walk-Forward optimization in MultiCharts
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Created: by ShahramTor Attachments:2

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The Walk-Forward optimization in MultiCharts

  #1 (permalink)
Trading Apprentice
Onsala Sweden
 
Futures Experience: Intermediate
Platform: Multichart
Broker/Data: InteractiveBrokers, eSignal
Favorite Futures: OMXS30
 
Posts: 28 since Nov 2016
Thanks: 21 given, 1 received

The Walk-Forward optimization in MultiCharts

Hi,

I wonder how to interpret the result of the Walk-Forward optimization.

Attaching a sample.

Thanks in advance

Shahram

Attached Thumbnails
The Walk-Forward optimization in MultiCharts-walk-forward-sp500-esignal-segment-90-30.pdf  
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  #2 (permalink)
Elite Member
Seattle
 
Futures Experience: Intermediate
Platform: MultiCharts 10
Broker/Data: InteractiveBrokers, IQFeed
Favorite Futures: ES
 
Posts: 52 since Nov 2015
Thanks: 18 given, 2 received

I'm not sure what the "," in the results is for! Near 100% win on 40+ trades per period leads me to think the results are not accurate! I'm not slamming your system, I hope for nothing but the best for your trading. The results just look unrealistic.

I'll do some research, I'm interested in learning but I'm not an expert on Multicharts. I have used Ninja for the past 5 years.

GuppyDRV

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  #3 (permalink)
Trading Apprentice
Onsala Sweden
 
Futures Experience: Intermediate
Platform: Multichart
Broker/Data: InteractiveBrokers, eSignal
Favorite Futures: OMXS30
 
Posts: 28 since Nov 2016
Thanks: 21 given, 1 received



GuppyDRV View Post
I'm not sure what the "," in the results is for! Near 100% win on 40+ trades per period leads me to think the results are not accurate! I'm not slamming your system, I hope for nothing but the best for your trading. The results just look unrealistic.

I'll do some research, I'm interested in learning but I'm not an expert on Multicharts. I have used Ninja for the past 5 years.

GuppyDRV

"," is Swedish decimal ".". This file is just an example.
My problem is that I do not know how to read the results!
I get some rows with different optimized values for my parameters. Witch one should I use?

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  #4 (permalink)
 Vendor: www.abctradinggroup.com 
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,806 since Apr 2013
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ShahramTor View Post
Witch one should I use?

ShahramTor,

use for what? The WFO basically tests your signal on a set of data then applies the found results to a set of data
not included in the first set. Then moves forward using a different set of data for the optimization (depending if you are using anchored or unanchored optimzation) and a new out of sample set etc..
This means you will end up with different results for each in sample/out of sample dataset.

There is a lot of theory on WFO here on futures.io and going through it will likely answer your questions.

Regards,

ABCTG

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  #5 (permalink)
Elite Member
Broadwater
 
Futures Experience: Intermediate
Platform: MultiCharts
Favorite Futures: FX
 
Posts: 10 since Dec 2016
Thanks: 2 given, 1 received

if you compare Net Profit / Max Drawdown the results of the optimisation is not that good. You can set the optimisation to Custom Criteria and look for this function, if you get values over 3+ using this function is usually a decent risk reward.

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  #6 (permalink)
Elite Member
Quebec
 
Futures Experience: Intermediate
Platform: MultiCharts
Favorite Futures: Futures
 
Posts: 3 since Nov 2012
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joelbindi View Post
if you compare Net Profit / Max Drawdown the results of the optimisation is not that good. You can set the optimisation to Custom Criteria and look for this function, if you get values over 3+ using this function is usually a decent risk reward.

As Joel stated, the NetProfit/Drawdown are way too high, especially in the OS period

One thing that bug me:
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

In the first line, the Gross Loss is way under the DrawDown, meaning that your system maybe waiting a little too long to take a lost

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