Walk Forward analysis free lecture
Walk forward analysis is a free lecture from the course Walk Forward optimization: Forex trading with Portfolio EAs
The complete course will be available on our website:
https://eaforexacademy.com/courses/algorithmic-trading/
Walk Forward analysis helps the traders to recognize the over-optimized strategies. It uses Out of Sample and this way the tests are reliable.
What means out-of-sample?
Let's say we have historical data of 24 months or 2 years. With EA studio it is easy to generate strategies removing some period of the Historical data that we have. For example, we can remove the last 4 months. If we generate strategies over the rest 20 months we can filter and create expert advisors based on acceptance criteria such as profit factor, minimum count of trades, win-loss ratio and others.
After we select the strategies we want to use we can add the last 4 months into our backtest. This way we see how the strategy performed on unknown historical data or for the last 4 months. This could be done manually or it could be done with the Out of Sample. We can select how much as a percentage we want to remove from the historical data and to simulate trading.
What is the walk forward analysis?
The walk forward analysis uses the out-of-sample but in a little bit different way. It divides the backtested into different segments and it optimizes the strategy for the first segment and simulator trading during the second segment. The same process repeats with the second segment and the rest and at the end, we see if we have a better strategy than the initial one.
Give the strategy shows better backtest output it means that the initial strategy was not over optimized. If the Walk forward analysis fails to show a better strategy this gives a strong signal that the parameters of the initial strategy were fit to the historical data and we have over optimization.
The whole process is automated by EA studio and everybody can use it with the 15 days free trial that comes with the software. During this time you can export as ministry he says you wish and create a beautiful portfolio of trade strategies.
Click below to sign up for the free trial of Expert Advisor studio:
https://eaforexacademy.com/software/expert-advisor-studio/
If you have any questions, do post them in our trading Forum:
https://eaforexacademy.com/forums/forum/general/
The complete course will be available on our website:
https://eaforexacademy.com/courses/algorithmic-trading/
Walk Forward analysis helps the traders to recognize the over-optimized strategies. It uses Out of Sample and this way the tests are reliable.
What means out-of-sample?
Let's say we have historical data of 24 months or 2 years. With EA studio it is easy to generate strategies removing some period of the Historical data that we have. For example, we can remove the last 4 months. If we generate strategies over the rest 20 months we can filter and create expert advisors based on acceptance criteria such as profit factor, minimum count of trades, win-loss ratio and others.
After we select the strategies we want to use we can add the last 4 months into our backtest. This way we see how the strategy performed on unknown historical data or for the last 4 months. This could be done manually or it could be done with the Out of Sample. We can select how much as a percentage we want to remove from the historical data and to simulate trading.
What is the walk forward analysis?
The walk forward analysis uses the out-of-sample but in a little bit different way. It divides the backtested into different segments and it optimizes the strategy for the first segment and simulator trading during the second segment. The same process repeats with the second segment and the rest and at the end, we see if we have a better strategy than the initial one.
Give the strategy shows better backtest output it means that the initial strategy was not over optimized. If the Walk forward analysis fails to show a better strategy this gives a strong signal that the parameters of the initial strategy were fit to the historical data and we have over optimization.
The whole process is automated by EA studio and everybody can use it with the 15 days free trial that comes with the software. During this time you can export as ministry he says you wish and create a beautiful portfolio of trade strategies.
Click below to sign up for the free trial of Expert Advisor studio:
https://eaforexacademy.com/software/expert-advisor-studio/
If you have any questions, do post them in our trading Forum:
https://eaforexacademy.com/forums/forum/general/
