Walk Forward Optimizer - TradeStation | futures io social day trading
futures io futures trading


Walk Forward Optimizer
Updated: Views / Replies:2,632 / 4
Created: by haonkered Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors – all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you don’t need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

Walk Forward Optimizer

  #1 (permalink)
Elite Member
Houston, Texas, United States
 
Futures Experience: Beginner
Platform: TradeStation
Favorite Futures: Futures
 
Posts: 25 since Jun 2013
Thanks: 10 given, 4 received

Walk Forward Optimizer

What is everyones experience with tradestation walk forward optimizer. I am curious if it is the same as market replay optimization that I have read about on other trading platforms. I am working on a strategy and receiving pass results on walk forward optimizer and great ratios and returns on the performance reports. But I have not been doing this for long so I find it hard to believe something good be this true.

Also, what differences can I expect between simulated auto trading an real cash money auto trading

Reply With Quote
 
  #2 (permalink)
Elite Member
Waco TX.
 
Futures Experience: Advanced
Platform: Robinhood
Favorite Futures: STOCKS
 
quantismo's Avatar
 
Posts: 214 since Jul 2011
Thanks: 305 given, 145 received

Small time frames not to be trusted

I thought I was going to be a billionaire at least 20 times when I used Tradestations backtesting and walk forward testing features.
I found out that many strategies written on lower time frames especially tick charts will give you awsome results backtesting and walkforward , but when run live totally flop mostly due to the way historically the bars are reported to be filled verses how they really would of been filled is usually quite different.
Now on the other hand if your using a higher timeframe in your strategy you will reduce that problem significantly.You will want to probly focus on getting some intrabar granularity coded in to your strategy using Multy Time Frames to get more accurate backtest results also.

Its been a few years since I used them and switched to Ninjatrader and It isnt perfect either but maybe some current users will post some better insight for you.

Good Luck !!
Quantismo

Reply With Quote
 
  #3 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,388 since Jul 2012
Thanks: 1,139 given, 4,387 received
Forum Reputation: Legendary


Trust your instincts. "Too good to be true" probably is. By questioning the results, instead of just accepting them at face value, you are thinking above most of the crowd, and that is great.

It could be a timeframe issue, as @quantismo pointed out. Or, it could be a hundred different things, either with the type of bars you are using, the type of orders, the backtesting method, the walk forward optimizer, assumptions about slippage and commission, etc. The list of potential issues is long.

The best thing to do is to assume that the great results are a fraud, because they most likely are. Then, dig into it and figure out why they are fraudulent. That will pay huge dividends in the future, as you develop new strategies - you'll avoid at least this source of "too good to be true."

Good Luck.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote
The following 2 users say Thank You to kevinkdog for this post:
 
  #4 (permalink)
Elite Member
St. Louis Missouri
 
Futures Experience: Intermediate
Platform: TradeStation,MultiCharts, TWS
Favorite Futures: Oil
 
Posts: 13 since May 2013
Thanks: 17 given, 9 received

What kevindog said is VERY IMPORTANT. It's how I found my first profitable strategy. Figure out why the results are skewed.
What I found was that they were skewed because if improper slippage assumptions - lack of tick data older than 6 months- and a few other things - when I finally fixed all the "broken" pieces I had a winning formula. It turns out the results were skewed to look way too good - but after all of the fixing it really was an edge - Just not quite as robust as the original results showed.

Reply With Quote
The following user says Thank You to Yoyo4830 for this post:
 
  #5 (permalink)
Trading Apprentice
méxico df, méxico
 
Futures Experience: Advanced
Platform: ninjatrader, tradestation
Broker/Data: demo so far
Favorite Futures: stocks, fdax, fdxm, fesx, rb, ho, ng, cl, tf, nq, bp, ec, jy
 
Posts: 46 since Mar 2013
Thanks: 115 given, 21 received

agreed.


i have found the walk-forward optimizer to be irrelevant. i now optimize leaving a sizable chunk of data out of sample by setting the last date some weeks past, and then check how the strategy does when extended to the out of data sample to evaluate if has a chance of working live or not. this is better and faster than using the w-f o.


higher time frames or bigger bar sizes are better. as for simulated versus live trading, strategies that trade with limit orders on the simulator generate results that are not credible, because getting fills with limit orders is really hard trading live. market orders on the simulator are closer to the real thing, provided you consider big enough slippage values as fills tend to be very bad.

Reply With Quote

Reply



futures io > > > > Walk Forward Optimizer

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
WARNING: MC 8.5 walk forward optimizer is FLAWED treydog999 MultiCharts 46 March 9th, 2017 03:44 PM
Is Walk Forward Optimization always a must? Albnd Traders Hideout 15 October 28th, 2016 10:00 AM
stand alone walk forward optimizer, multicharts compatiable treydog999 Elite Automated Trading 6 April 20th, 2013 11:30 AM
Walk Forward Experiment Silver Dragon Elite Automated Trading 327 September 9th, 2012 12:56 AM
Walk Forward caprica NinjaTrader 4 August 31st, 2009 06:51 PM


All times are GMT -4. The time now is 11:15 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-17 in 0.10 seconds with 19 queries on phoenix via your IP 54.221.73.186