Walk Forward freezes after first rep

nonetheless · Wed, 01 Jan 2020 19:43:51 +0000

Hi, below is a simple strategy I’m working on for the DJI based on Supertrend on a 2h timeframe and the trailing stop on 5m. The optimized results look OK, but I’m having trouble with the Walk Forward; it does one rep then freezes – ie progress shows 100% of the first rep and then nothing happens, doesn’t move on to the next rep. I haven’t had this problem before, what am I doing wrong? 2nd Q: I wanted to test this with CumulateOrders = true, ie to buy another contract each 2hrs that conditions hold but simply changing ‘false’ to ‘true’ gives a nonsensical result. Is there something else that needs to be stipulated? Couldn’t find anything helpful in the manual. Final Q: how many optimization variables need to be included in the Walk forward analysis to give a meaningful result? I’m guessing that more is better, but considering the time it takes to run, is there some kind of optimum out of the 10,000 possible? Many thanks in advance! // Definition of code parameters DEFPARAM CumulateOrders = false // Cumulating positions deactivated daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 TIMEFRAME(120 minutes) indicator1 = SuperTrend[mult,nbr] c1 = (close > indicator1) c2 = (close < indicator1) TIMEFRAME(5 minutes) IF C1 AND not daysForbiddenEntry THEN BUY 1 CONTRACT AT MARKET SET STOP %LOSS stl ENDIF // Conditions to exit long positions IF C2 THEN SELL AT MARKET ENDIF // Conditions to enter short positions IF C2 AND not daysForbiddenEntry THEN SELLSHORT 1 CONTRACT AT MARKET SET STOP %LOSS sts ENDIF // Conditions to exit short positions IF C1 THEN EXITSHORT AT MARKET ENDIF //trailing stop function trailingstart = trstr //trailing will start @trailinstart points profit trailingstep = trst //trailing step to move the "stoploss" //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstart*pipsize THEN newSL = tradeprice(1)+trailingstep*pipsize ENDIF //next moves IF newSL>0 AND close-newSL>=trailingstep*pipsize THEN newSL = newSL+trailingstep*pipsize ENDIF ENDIF //manage short positions IF SHORTONMARKET THEN //first move (breakeven) IF newSL=0 AND tradeprice(1)-close>=trailingstart*pipsize THEN newSL = tradeprice(1)-trailingstep*pipsize ENDIF //next moves IF newSL>0 AND newSL-close>=trailingstep*pipsize THEN newSL = newSL-trailingstep*pipsize ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP EXITSHORT AT newSL STOP ENDIF //************************************************************************

This topic has 18 replies, 4 voices, and was last updated 5 years ago by nonetheless.

Viewing 4 posts - 16 through 19 (of 19 total)

← 1 2

01/02/2020 at 12:14 PM #115751

nonetheless

GraHal wrote:

You optimise over In Sample (IS) period … say the 1st 70k bars of the 100k bars available to us. Then you Walk Forward over Out of Sample (OOS) period of the remaining most recent 30K bars with variables set to optimisation.

So it’s just done by manually selecting different time periods?

nonetheless
Participant

Topics: 83
Replies: 1235
Been thanked: 978 times

01/02/2020 at 12:29 PM #115753

GraHal

nonetheless wrote:

So it’s just done by manually selecting different time periods?

Yes that is part of it and also using the Walk Forward settings etc … which I know you understand as you had set for 70% IS and 30% OOS periods.

Another way I do it (for speed) I optimise over 10K bars (or 50K bars for example ) and then run the System over the full 100k bars to see if the results are a disaster or acceptable.

This above method is ‘rough and ready‘ 🙂 but does not require use of the Walk Forward engine at all. I find proper WF so tediously slow it puts me off using it!

1 user thanked author for this post.

nonetheless

GraHal
Participant

Topics: 222
Replies: 9296
Been thanked: 2462 times

01/02/2020 at 12:40 PM #115755

GraHal

GraHal wrote

then run the System over the full 100k bars

Above would be with no optimisation running during my OOS rough and ready test

GraHal
Participant

Topics: 222
Replies: 9296
Been thanked: 2462 times

01/02/2020 at 1:00 PM #115757

nonetheless

Alright, got it!

1 user thanked author for this post.

GraHal

nonetheless
Participant

Topics: 83
Replies: 1235
Been thanked: 978 times
Author

Posts

Viewing 4 posts - 16 through 19 (of 19 total)

← 1 2

Find exclusive trading pro-tools on

Walk Forward freezes after first rep

1 user thanked author for this post.

1 user thanked author for this post.