Walk Forward Optimizer - TradeStation | futures.io
futures.io futures trading

Go Back   futures.io

> Futures Trading, News, Charts and Platforms > Platforms and Indicators > TradeStation

Walk Forward Optimizer
Started:July 29th, 2013 (10:16 PM) by haonkered Views / Replies:2,190 / 4
Last Reply:April 16th, 2014 (03:03 AM) Attachments:0

Welcome to futures.io.

Welcome, Guest!

This forum was established to help traders (especially futures traders) by openly sharing indicators, strategies, methods, trading journals and discussing the psychology of trading.

We are fundamentally different than most other trading forums:
  • We work extremely hard to keep things positive on our forums.
  • We do not tolerate rude behavior, trolling, or vendor advertising in posts.
  • We firmly believe in openness and encourage sharing. The holy grail is within you, it is not something tangible you can download.
  • 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, and we will never resell your private information.

-- Big Mike

Thread Tools Search this Thread

Walk Forward Optimizer

Old July 29th, 2013, 10:16 PM   #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

Old July 29th, 2013, 11:23 PM   #2 (permalink)
Elite Member
Surf City NC
Futures Experience: Advanced
Platform: Ninjatrader,Think or Swim
Favorite Futures: Stock/Futures/
quantismo's Avatar
Posts: 213 since Jul 2011
Thanks: 304 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 !!

Reply With Quote

Old July 30th, 2013, 12:24 AM   #3 (permalink)
Elite Member
Cleveland Ohio/United States
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
Posts: 2,178 since Jul 2012
Thanks: 999 given, 3,938 received

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:

Old September 9th, 2013, 10:53 PM   #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:

Old April 16th, 2014, 03:03 AM   #5 (permalink)
Trading Apprentice
méxico df, méxico
Futures Experience: Intermediate
Platform: ninjatrader, multicharts
Broker/Data: demo so far
Favorite Futures: stocks, @nq, @es
Posts: 43 since Mar 2013
Thanks: 109 given, 21 received

Futures Edge on FIO

What happens to the S&P 500 when a new President takes office?


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


futures.io > Futures Trading, News, Charts and Platforms > Platforms and Indicators > TradeStation > Walk Forward Optimizer

Thread Tools Search this Thread
Search this Thread:

Advanced Search

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

An Afternoon with FIO trader bobwest

Elite only

NinjaTrader 8: Programming Profitable Trading Edges w/Scott Hodson

Elite only

Anthony Drager: Executing on Intermarket Correlations & Order Flow, Part 2

Elite only

Adam Grimes: Five critically important keys to professional trading

Elite only

Machine Learning Concepts w/FIO member NJAMC

Elite only

MarketDelta Cloud Platform: Announcing new mobile features

Dec 1

NinjaTrader 8: Features and Enhancements

Dec 6

Similar Threads
Thread Thread Starter Forum Replies Last Post
WARNING: MC 8.5 walk forward optimizer is FLAWED treydog999 MultiCharts 43 November 13th, 2013 06:03 PM
stand alone walk forward optimizer, multicharts compatiable treydog999 Elite Automated Trading 6 April 20th, 2013 10:30 AM
Is Walk Forward Optimization always a must? Albnd Traders Hideout 13 March 25th, 2013 12:20 PM
Walk Forward Experiment Silver Dragon Elite Automated Trading 327 September 8th, 2012 11:56 PM
Walk Forward caprica NinjaTrader 4 August 31st, 2009 05:51 PM

All times are GMT -4. The time now is 04:18 PM.

Copyright © 2016 by 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 2016-10-21 in 0.11 seconds with 19 queries on phoenix via your IP