Hello community…

I have been having fun attemtping to develop trend following systems using the ‘iterative and incremental’ approach….  I have tried to develop the system in a way that each stage results in a functional trading system, with the idea being that as I go through the stages the system becomes better until I am left with a system that I have the confidence to run Live.

Anyway, I have become rather confused upon finishing what I consider the last phase of development: robustness testing.  I am using the Walk Forward Analysis tool and the problem is that I am not sure how to interpret the Walk Forward Efficiency ratio results….  here is the WF Efficiency over 5 stages at 70/30.  (Apologies, I can’t save the ‘Walk Forward statistics’ tab itself for some reason, when I try to ProRealTime instead saves the ‘Advanced Chart’ tab, any ideas why this is?? I am able to save the ‘Detailed Report’ tab which I have included.)

here are the WF Efficiency results:

1:  +93.46

2:  +80.89

3: +111.62

4:  +171.91  (this period includes the start of COVID-19 crisis when volatilty increased dramatically)

5: +106.41

I should mention that I am using the ‘Anchored’ approach as I believe with the amount of  trades generated in the system I can achieve better statistical significance than with ‘non-anchored’ version.  Am I correct in assuming this?

Hopefully someone can provide me with some clarity…

Kind Regards

Jim

Detailed-report.System1-DAX-15M.png