Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.

Tradewinds

Walk-Forward TradeStation

Recommended Posts

TradeStation 9 has Walk-Forward testing to analyze strategies. They recently added the Walk-Forward Optimizer. The TradeStation Walk-Forward Optimizer (WFO) is now available to all customers with the recent release of version 8880.

 

https://www.tradestation.com/support/whats_new/tradestation_0900.aspx

 

  • First a Strategy needs to inserted into the Chart
  • You will either need to program a strategy, or choose one of the example strategies.
  • Once a strategy is inserted into the chart, you will need to format it.

 

For a video of the process, open this link:

 

https://www.tradestation.com/support/webinars/quicktips/player.html?title=Introducing_the_Walk-Forward_Optimizer&movie=walkforward.flv

 

Has anyone used the Walk-Forward testing and the Optimizer? I'd be interested to know what you have learned.

Share this post


Link to post
Share on other sites

The Walk-Forward Analysis claims to detect if a strategy has been custom fit to just one set of data, and won't work well under other circumstances. The TradeStation help states:

 

"It detects if a system has been overfit or improperly optimized. (Studies have shown that a randomly chosen, poor, or overfit system can make money in one or two walk-forward test, but will not make money over a large number of walk-forward tests) A system that makes profit over a large number of walk-forward tests, is most likely to be successful in future."

 

reference: TradeStation Walk-Forward Optimizer Help

Share this post


Link to post
Share on other sites

TradeStation recommends that the strategy being tested generates at least 450 trades. The WFO (Walk-Forward-Optimization) uses an Out-Of-Sample size of 20%, so out of 150 trades, the number of Out-Of-Sample trades would only be 30 trades.

 

The minimum of 450 trades is to make sure that a "10 run walk-forward analysis" can be done.

 

Then there is the Cluster Analysis (CA) which may need even more initial trades.

Share this post


Link to post
Share on other sites

Walk-forward analysis is good but the problem is finding an edge. It's like someone offering you a fancy car audio system as a present but you have no car.

 

I would like TS to incorporate some data mining capability (not NNs or anything else along that line that fits to the data). The concept behind Price Action Lab for example would be a good addition and walk-forward testing can complement that to screen patterns for robust behavior. What good is it giving a fancy tool to people when their main problem is that they have hard time finding any good strategies manually?

Share this post


Link to post
Share on other sites

The WFO is a great tool. Problem is the usual: RIRO (rubbish in, rubbish out). The criteria that is used to both enter and exit trades is of great importance. Just using your favourrite indicator with optimised inputs, rigid targets and stops won't in most cases provide a robust model, even if one set of parameters passes WFO. It's usually just a fluke. You got lucky, as Clint would say. This is easily seen as you try and get the same "chosen" inputs after using different lengths of data both for your IS and OS testing.

 

The way to use the WFO is to use criteris that relates to market activity so that the algo will self adjust to the volatility and to use the WFO to fine tune its sensitivity.

 

Having said that, TS's WFO is the state of the art after having purchased the Grail and having the guy that owned it integrate it into TS. But its really slow when you compare it to MultiCharts but what you get from it is much better.

 

EL

Share this post


Link to post
Share on other sites

Which algo does Tradestation uses for optimization?

 

Amibroker has a WFO engine since quite some time. It's CMAE engine is blazing fast: Amibroker- How to optimize trading system I checked a year back and the same strategy took 30-40% less time in Amibroker for optimization when compare with tradestation.

 

Would also like to hear how fast is Tradestation's optimization algo.

Share this post


Link to post
Share on other sites
Having said that, TS's WFO is the state of the art after having purchased the Grail and having the guy that owned it integrate it into TS. But its really slow when you compare it to MultiCharts but what you get from it is much better.

 

EL

 

Have you tried the Amibroker WFO? They ahve it for a long time, long before TS.

 

I think TS backtesting and WFO suffer from RIRO as you said. Also suffer from giving too much power to people to get ruined. Eventually,the company will be ruined if the influx is lower than the outflux.

 

What TS needs as someone else already mentioned is a program to find good systems in auto mode. That will not do any good to the ouflux maybe but it may increase the influx by making the program usable by a wider audience, the 99.99% of traders who cannot code systems.

Share this post


Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.


  • Topics

  • Posts

    • MNST Monster Beverage stock, top of range breakout above 60.45, from Stocks to Watch at https://stockconsultant.com/?MNST
    • ...hallucinates.... Student: “What if we gave the monkey LSD?” Guru: “The monkey already did LSD”
    • Question: To those that had/have cancer, what were the signs that made you think “something is not right here” to make you go see a doctor? Answer: So, 5/25/2018, I woke up, got ready for work, and as I walked to my car, I started gagging. Like something was stuck in my throat and I needed to clear it. And then it went away.   But 10 minutes after that, I was T-boned at 40mph on the driver side door. But what made me see a doctor was while my muscles felt better and bruises were going away, the gagging still continued, I started having fevers, my neck felt swollen, I was having such a hard time breathing, and I'd have random sharp pains in my chest, but not from where the seat belt saved me.   2 weeks after the accident, I finally see an urgent care doctor, who looks me over, tells me I'm fine, but luckily requests a neck X-ray. And I ask for a chest X-ray, which he rolls his eyes but let me have (most of my pain was in the neck, so I understand).   The very next day, he calls and says “So, that chest X-ray shows there's a 4 inch mass on your heart and lungs, and your lungs have been filling up with fluid, as well as in your pericardial (heart) wall. We need you to come in tomorrow.”   Turns out the big mass, due to the accident, caused my heart and lungs to tear and fill with fluid, the swollen neck and gagging was caused by 2 metastasized tumors, and the fevers and weight loss were symptoms. Stage 4b Hodgkin's Lymphoma.   But thankfully, we went very aggressive with chemo (and had a lot of bad side effects that don't normally happen to patients), and now I'm about 16 months cancer-free. Yay lucky X-rays! Rachel Jurina, Quora Source: https://www.quora.com/To-those-that-had-have-cancer-what-were-the-signs-that-made-you-think-something-is-not-right-here-to-make-you-go-see-a-doctor   Profits from free accurate cryptos signals: https://www.predictmag.com/  
    • As a man, the reality of life is the harshest part. I don’t mind looking older or becoming weaker over time; it’s nature.   Have you ever heard that the only people who will be loved unconditionally are women and children? Men will only be loved as long as they can provide until they are no longer needed. It doesn’t matter if you already did your best to get your kids to the best school or get the best things for them, if you stop before they’re done with it, there will be no thank you. The only thing they will remember is that they have to quit school at 15, ignoring all the previous 15 years of life you provided for them. The only people who will accept you, no matter what, are your parents. But in this situation, you might be that ungrateful child.   EDIT: Wow, I didn’t think this would get so much attention.   For those who disagree, I can only say that everyone has their problem. If you don’t get the chance to face such a thing, be grateful. Remember, sometimes what you throw in the garbage is something that someone wishes ever to have.” – ElZee, Quora   Profits from free accurate cryptos signals: https://www.predictmag.com/    
    • The good thing i had noticed so far is that the traderpot value is also on the rise..
×
×
  • Create New...

Important Information

By using this site, you agree to our Terms of Use.