The Walk Forward Analyzer for MetaTrader

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kezo
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Dátum registrácie: Ut 11 09, 2012 8:55 am

The Walk Forward Analyzer for MetaTrader

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Obrázok

http://www.easyexpertforex.com/walk-for ... rader.html

If You Are Trading With Expert Advisors in MetaTrader,

You Need This Software!

How do you know if your expert advisor is truly profitable? MetaTrader's Strategy Tester doesn't give you the whole picture! Are you trading based on overly optimistic backtests, and disappointed to find that your expert advisor is losing money in live trading? Would you like to know if your expert advisor is profitable, quickly and easily, without losing money?

The Walk Forward Analyzer for MetaTrader

Obrázok

The Walk Forward Analyzer uses MetaTrader's own Strategy Tester to perform a walk forward analysis, using the settings and testing parameters provided by the user. The software is easy to use, and can provide you with a complete walk forward analysis in a fraction of the time it would take for you to do it manually.

A walk forward analysis determines whether an expert advisor is profitable when trading with optimized parameters on out-of-sample data. Any expert advisor can produce an impressive optimization result, but the true test is whether those results will hold up when tested over future data. The Walk Forward Analyzer performs this process many times over months and years of historical data, giving you an accurate picture of the true performance of your expert advisor.

On completion of a walk forward analysis, you'll be presented with a detailed walk forward analysis report, showing the results of the testing and optimization runs, the total testing profit/loss, and the walk forward efficiency ratio, which is a measure of how robust your trading system is.

What is Walk Forward Analysis?

Walk forward anaylsis is the process of optimizing a trading system using a limited set of parameters, and then testing the best optimized parameter set on out-of-sample data. This is similar to how you would use your expert advisor in live trading. The principles of walk forward analysis were first described in the book The Evaluation and Optimization of Trading Strategies by Robert Pardo.

To perform a walk forward analysis in MetaTrader, first optimize the expert advisor in the Strategy Tester. Then, choose the most profitable result in the Optimization Results tab, and perform a backtest it over a time period immediately following the optimization period. The end date of the optimization period is the same as the start date of the testing period. This process is repeated over and over until a satisfactory sample size is achieved.

If the expert advisor performs well in testing, relative to the optimization results, then one can conclude that the expert advisor will likely be profitable in live trading. If, on the other hand, the expert advisor performs poorly in testing, then either the optimization parameters or the length of the testing and optimization periods will need to be adjusted. If, after many attempts, the expert advisor still does not perform well in the testing, then it can be concluded that the trading system is unprofitable.

The animation to the right illustrates the walk forward analysis procedure. An optimization is performed over a longer period (the in-sample data), and then the optimized parameter set is tested over a subsequent shorter period (the out-of-sample data). The optimization and testing periods are shifted forward, and the process is repeated until a suitable sample size is acheived. [Source]

An Example of a Walk Forward Analysis

Obrázok

Let's provide a real-life example: We're going to do a walk forward analysis on an expert advisor, using EURUSD M30. We'll optimize this expert advisor over a period of 120 days. We've chosen the 3 or 4 most important parameters to optimize, so as not to over-optimize or "curve fit" the results. Also, fewer parameters means a quicker test.

We'll select the most profitable result, and backtest those parameters over a 30 day period immediately following the optimization period. It is recommended to use a testing period of approximately 25% of the length of the optimization period. Once we've recorded our results, we'll move the next optimization and testing period forward by 30 days.

After 12 consecutive rounds of optimization and testing, we'll have a year's worth of walk forward analysis data. We compare the average daily profit for the optimization periods to the average daily profit for the testing periods. This will give us a calculation called the walk forward efficiency ratio.

A walk forward efficiency ratio greater than 0.5 is considered a very good result. This is what we call a robust trading system. However, an expert advisor is tradeable as long as it is consistently profitable over multiple testing periods. If the walk forward efficiency ratio is negative, then that means that the expert advisor did not perform well relative to it's optimization results.

Of course, you can do a walk forward analysis manually in MetaTrader's Strategy Tester. But the process is tedious, time-consuming and prone to error. This is where the Walk Forward Analyzer software comes in. The program will automatically perform a walk forward analysis using MetaTrader's Strategy Tester over any length of time, with only a few settings provided by the user.

SOURCE: http://www.amibroker.com/guide/h_walkforward.html
"Have you taken a loss? Forget it quick. If you have taken a profit, forget it quicker. Don’t let ego and greed inhibit clear thinking and hard work. It is profitable to study your mistakes. "
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