Ah oui et quand même, quand est ce que l’on peut dire qu’une stratégie a passé le Walk Forwad et peut potentiellement être mis en application en réel
A cela, voici les recommandations de Tradestation, que l’on peut discuter ici
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Test Results – Criteria
After a walk-forward optimization has been completed, the Test Results tab produces a summary of the test criteria for the selected walk-forward analysis. The summary is user friendly and includes comment why a specific test criteria was passed or failed.
Using the default settings, a trading strategy passes a walk-forward analysis if:
- It is overall profitable AND
- shows a Walk-Forward Efficiency of 50% or better AND
- 50% or more of all walk-forward tests were profitable AND
- shows an even distribution of profit, i.e. no individual time period contributed 50% or more of total net profit AND
- has a Maximum drawdown of less than 40%
If the strategy fail any of the individual tests, the strategy is failed overall and is deemed not suitable for real-time implementation / trading.
Since performance evaluation is something personal, WFO allows users to set the pass/fail percentages themselves using the Setup, Test Criteria Settings option. Note that the Initial capital setting is very important because it is used for all Maximum drawdown % calculations.
The possible test result outcomes can be summarized as follow:
Test Criteria
Result
Condition
Overall Profitablility
P
Total Profit > 0
F
Total Profit <= 0
Walk-forward Robustness
PD
Walk-Forward Efficiency >= 100%
P
Walk-Forward Efficiency >= 50%
F
Walk-Forward Efficiency < 50%
Consistency of profits
PD
80%+ of walk-forward tests were profitable
P
50%+ of walk-forward tests were profitable
F
<50% of walk-forward tests were profitable
Distribution of profits
P
No individual time period contributed 50%+ of total net profit
F
One of the walk-forward runs contributed 50%+ of total net profit
Maximum drawdown
P
Maximum drawdown did not exceed 40% during any single run
F
Maximum drawdown exceeded 40%
Key:
PD
= Pass with distinction
P
= Pass
F
= Failed
