Walk forward optimization
Walk forward optimization
02 Nov 2014, 13:59
WFO for out-of-sample testing during optimization would lead to the creation of more robust systems, optimal parameter sets, and less curve-fitting.
Replies
Lávio_Pareschi
08 Nov 2015, 18:10
To accomplish this very important feature, I think that the backtesting process must be faster.
I have used Ninja that does WFO. And Ninja is much faster than CTrader when doing optimizations and, consequently, WFO. This performance issue is a problem and maybe the reason the CTrader makers did not include WFO in their program in first versions.
@Lávio_Pareschi
jrsmolley
30 Dec 2015, 20:37
I am very surprised that this platform wouldn't include built-in Walk-Forward Analysis or out-of-sample testing. Maybe cTrader is catering more to discretionary traders? For any serious algorithmic trader, this feature is not optional. Unfortunately that means this platform is unacceptable to me. Maybe they'll implement it in the future? Until then I'll be looking at MultiCharts / Asirikuy / SierraCharts as an alternative.
@jrsmolley
der.timosch
21 Aug 2017, 21:51
( Updated at: 21 Aug 2017, 21:52 )
This is something, that I am really looking forward to. It could save a lot of time if don't have to do it manually for single optimization results
@der.timosch
... Deleted by UFO ...
daniloscipioni
04 Oct 2020, 19:10
under review...
This feature is under review since november 2014?
Interesting...
@daniloscipioni
jonathan.silva.condeuba
10 Dec 2022, 03:22
Awaiting...
It's past time to resolve this bug
@jonathan.silva.condeuba
NahillCapital
14 Jun 2023, 19:16
Please implement this Spotware. The community will really appreciate it.
@NahillCapital
heinrich.munz
16 Jul 2023, 15:26
Walk forward optimization
Instead of implementing (Walk) Forward Optimization into cTrader, I suggest to release a CLI version of
a) Automate Back tester and
b) Automate Optimizer
instead.
Reason: People understand completely different things under Walk Forward or just Forward Optimization and there are myriads of ways how to implement those features (see MT5, NinjaTrader, Multicharts64, etc. - all are crab :-(. I am pretty sure that - if Spotware implements (W)FO - for many users it will be disappointing and useless. The only way to make all users happy is to offer an API to use Backtesting and Optimization programmatically just as we use it today manually. Then everybody can implement the (W)FO strategies they'd like to have.
The good news for Spotware is, that there is a very simple way to realize this: Just release the optimizer and the backtester as a CLI implementation as you have done in cTrader V4.8 for the real-time trader. Of course the optimizer and the backtester API must have all the setting parameters possibilities as we have it today in the IDE version. This CLI programs then can be called by self written (W)FO strategies and no one can complain about the bad implementation of WFO.
@heinrich.munz
roul.charts
13 Jul 2024, 15:32
Update
Is there any update? I have just finished MCU my algo with 3000 lines of code. Backtesting and optimisation are fine. But without an Walk Forward test I'm not really happy to activate the Algo on my live account.
Is the only option to switch the platform??
@roul.charts
roul.charts
13 Jul 2024, 15:32
Update
Is there any update? I have just finished MCU my algo with 3000 lines of code. Backtesting and optimisation are fine. But without an Walk Forward test I'm not really happy to activate the Algo on my live account.
Is the only option to switch the platform??
@roul.charts
scotpip
22 Aug 2024, 18:38
( Updated at: 23 Aug 2024, 06:32 )
A decade now, and this essential feature hasn't even made it onto the Planned list :-(
With the new console feature, CTrader offers a serious execution environment for sophisticated algo traders. It could attract some big players to the platform, given that most other consumer platforms have a reputation for being flakey in production. This would generate the kind of volume that your brokers would appreciate!
But the lack of proper walk forward testing is a huge turnoff for anyone serious. It's not really optional on an algo platform.
This is something I've implemented twice with my own backtesters, and it was relatively straightforward. You guys are much smarter than me - surely you can get this done?
If you want an example of how to do it right, please take a look at Zorro, which offers both rolling and anchored testing:
https://zorro-project.com/manual/en/numwfocycles.htm
@scotpip
Quantrosoft
23 Aug 2024, 06:47
No! Spotware, do not hard implement sophisticated special versions of WFO like anchor, rolling, flying, diving, or whatever.
As I mentioned above, simply give the programmers via an API the chance to call one backtest or optimization cycle programmatically. Every programmer then can implement whatever WFO strategy he/she likes.
@Quantrosoft
Quantrosoft
23 Aug 2024, 06:48
No! Spotware, do not hard implement sophisticated special versions of WFO like anchor, rolling, flying, diving, or whatever.
As I mentioned above, simply give the programmers via an API the chance to call one backtest or optimization cycle programmatically. Every programmer then can implement whatever WFO strategy he/she likes.
@Quantrosoft
mike.challis
02 Oct 2015, 10:28
This would be a great addition to prevent curve fitting.
Some other software out there that does this:
http://www.strategyquant.com/articles/walk%20forward%20optimization
https://www.amibroker.com/guide/h_walkforward.html
https://www.tradestation.com/trading-technology/tradestation-platform/analyze/walk-forward-optimizer
Absolutely essential feature.
@mike.challis