One thing I am struggling to understand about Walk Forward Analysis is how to select the parameters to use, and possibly when to change them?
So if you take the stepped WFA approach where the in sample (IS) data is, for example, a 3mth period and the out of sample (OOS) is 1mth.... (my strategy is based on an hour tf)
I am doing this in MT4 manually, based on this approach… http://articles.mql4.com/1012
Optimization/IS WFA/OOS
June to Sep ----------> Oct
Jul to Oct -------------->Nov
AUg to Nov ------------>Dec
Sep to Dec ------------> Jan
Oct to Jan ------------->Feb
So if i take the best passes from each optimization - let's say there are 150 for each. I run these through the respective OOS. So this may then produce 20 passes/results that are profitable.
Do I then take these 20 passes for each OOS data, Oct, Nov, Dec, Jan, Feb, combine them = 100 passes and then see if there are passes with similar settings?
Then hopefully take the settings that match closest across all these OOS sets - is that how it should work?
(so in excel I create a key based on the 4 parameters, and then put this in a pivot table to see if there are matches across all the sets)
So then the final settings would to a degree be based on data that is far from the current date. I get that this hopefully makes it more robust, but possibly less optimal? (So if I take those setting that match closest, and run them over the whole period June to Feb, the results will not be that good, as this window is larger than the original IS optimization windows which is only 3 months.
So if this is the correct approach, do you then run with these settings live over March and then repeat and have different settings for April and so on?
Or is that just for testing the robustness, and for the actual parameter selection it would be better off just running a single WFA
eg
Optimization/IS WFA/OOS
June to Sep ----------> Oct
and then run live with the best parameter set from the Oct OOS test for a month and then repeat?
How are others managing their WFA testing?
Thanks
Simon
So if you take the stepped WFA approach where the in sample (IS) data is, for example, a 3mth period and the out of sample (OOS) is 1mth.... (my strategy is based on an hour tf)
I am doing this in MT4 manually, based on this approach… http://articles.mql4.com/1012
Optimization/IS WFA/OOS
June to Sep ----------> Oct
Jul to Oct -------------->Nov
AUg to Nov ------------>Dec
Sep to Dec ------------> Jan
Oct to Jan ------------->Feb
So if i take the best passes from each optimization - let's say there are 150 for each. I run these through the respective OOS. So this may then produce 20 passes/results that are profitable.
Do I then take these 20 passes for each OOS data, Oct, Nov, Dec, Jan, Feb, combine them = 100 passes and then see if there are passes with similar settings?
Then hopefully take the settings that match closest across all these OOS sets - is that how it should work?
(so in excel I create a key based on the 4 parameters, and then put this in a pivot table to see if there are matches across all the sets)
So then the final settings would to a degree be based on data that is far from the current date. I get that this hopefully makes it more robust, but possibly less optimal? (So if I take those setting that match closest, and run them over the whole period June to Feb, the results will not be that good, as this window is larger than the original IS optimization windows which is only 3 months.
So if this is the correct approach, do you then run with these settings live over March and then repeat and have different settings for April and so on?
Or is that just for testing the robustness, and for the actual parameter selection it would be better off just running a single WFA
eg
Optimization/IS WFA/OOS
June to Sep ----------> Oct
and then run live with the best parameter set from the Oct OOS test for a month and then repeat?
How are others managing their WFA testing?
Thanks
Simon