In a recent post, I shared my “Proven Winner” optimization methodology. The concept in brief is to only allow the walk-forward optimization engine to select strategies that worked over a long period of time for WFO consideration. It is possible to do this in Tradestation Easylanguage or Multicharts Powerlanguage by optimizing a single master switch […]
Continue readingTradestation and Multicharts support a form of optimization known as Matrix WFO. The Matrix WFO runs through many combinations of WFO in and out of sample periods to try to determine the best setting to use for re-optimization. As well, some traders use Matrix WFO to robustness test a strategy. Recently, I implemented my “Proven […]
Continue readingOne way to think about WFO is instead of thinking about it as in-sample and out-of-sample performance is to think about a static population of strategies because it truly is a static population of strategies. In seeing it in this light, we can start to realize the correlation between past and future periods will be […]
Continue readingIn a recent post, I introduced a new innovation in WFO which I called Weighted Anchored WFO (WAWFO). This new approach and innovation derived from the many problems that I recognized traditional WFO has and attempts to address many of the problems I recognized inherit to WFO (but cannot address all, unfortunately). The Weighted Anchored […]
Continue readingI was thinking about my trading and when I have tended to do better or worse. And, it is apparent to me that I did better when I had stronger feedback loops that helped me to develop good insights and edge into the market. And, I have did worse when I have not maximized my […]
Continue readingWalk forward optimization has the potential to be an excellent way for both verifying and optimizing trading systems. However, in practice, most retail trading platform WFO implementations today have limitations that limit their ultimate value: 1. Markets are so efficient that systems may need to be reoptimized on a very frequent basis. It is not […]
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