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admin
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Enhanced Walk Foward Optimizer updates. EWFO EXE
20210621.1 released via auto update when you open EWFO. This will be the last update for some time.
This build has a number of improvments, and very important bug fixes. All users should upgrade
If users did not install under c:\ewfo and they are not running as windows administrator, then the update won't occur successfully.
You most open again runing EWFO as windows adminstrator.
New fitness types are also included.
EWFO (With no installer file) 20210611.10 version
Attachment: Login to view the details
Full installer file. This should auto-update to EWFO-Pro 2020 version when run
Attachment: Login to view the details
This build will come via auto update next week.
It installs into c:\ewfo to save issues of auto update not working when you are not windows administrator.
The last build has bug fixes, and error traps and new feature of last run when bars mode used. To be documented later.
EWFO UPDATES. (exe file only) over write existing ewfo files
may 29 2021
All the new fitness types added into GSB
Important bug fixes
Attachment: Login to view the details
System quality number
This was put into EWFO at the request of a client. I have not used this myself yet.
My question to this client was, did SQN work well compared to net profit / drawdown or net profit * average trade.
"Absolutely YES !!!
At least with my own trading systems, I am experimenting that the table of SQN value is true and when there are setting having, at the same time
minSQN > 2.5 and Rank > 15 the stability is really good and OOS data are very close with IS. On the other side using P/DD only (with the same trading
system) it is more frequent to get better IS but less robust and then worst OOS.
The results are extremely accurate when the trading system has time filter and or day of week or other seasonality filter, in this case the core edge
of market flow is exactly to generate very consistent trade statistics and then using SQN you should easily achieve values > 3.5 and very high
stability."
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admin
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boosted
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Doing some minimal testing with the added list of SQN Fitness Criteria in EWFO is giving me some interesting results.
Will you be adding the SQN Fitness Criteria to EWFO so those can be used in GSB WF?
I think it would be a nice addition.
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boosted
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sorry, made a mistake. SQN is already in EWFO, will it be added to GSB?
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admin
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Do you mean in fitness, or in performance metrics?
Anyone else tried it? EWFO is not used a lot as GSB WF is much faster.
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boosted
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yes, both. Will SQN and metrics be added to GSB?
I prefer using GSB WF version than EWFO.
Also, while on the subject, does GSB allow me to create code in TS then somehow dump it into GSB to do WF work vs having
to use EWFO since GSB WF is faster as you say?
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admin
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It's possible to add sqn but it's likely some time off as there are more pressing features.
You can't take ts code and wf in GSB. That's the whole purpose of ewfo.
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boosted
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The SQN calculation that you included in EWFO, is that calculation Van Tharp, Bandy t-statistic or some other algorithmic measure?
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admin
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Quote: Originally posted by boosted  | | The SQN calculation that you included in EWFO, is that calculation Van Tharp, Bandy t-statistic or some other algorithmic measure?
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Its Van Tharp. Was done by special request of a customer
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Petzy
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| Quote: Originally posted by admin | Do you mean in fitness, or in performance metrics?
Anyone else tried it? EWFO is not used a lot as GSB WF is much faster. |
I use sqn sometimes. I like to use EWFO to compare different metrics on different strategies.
Sometimes np/dd is best for one strategy and something else for another strategy. I dont believe that you can have one metric that is best for
everything. That is what I use ewfo for anyway
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boosted
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Hi Peter,
I was using EWFO tonight and happen to look at Stability Scores tab and noticed there are some of the Fitness Criteria missing in the list.
Is this something you can fix.
Would very much like to see Rank and MisSQN in the list of missing Stability Scores.
Thanks.
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admin
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| Quote: Originally posted by boosted | Hi Peter,
I was using EWFO tonight and happen to look at Stability Scores tab and noticed there are some of the Fitness Criteria missing in the list.
Is this something you can fix.
Would very much like to see Rank and MisSQN in the list of missing Stability Scores.
Thanks. |
This is all programmable by the user, but it was a bit fiddly to do it. Its been a long time since I looked at it - but I may add to the next release
of EWFO
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admin
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| Quote: Originally posted by boosted | Hi Peter,
I was using EWFO tonight and happen to look at Stability Scores tab and noticed there are some of the Fitness Criteria missing in the list.
Is this something you can fix.
Would very much like to see Rank and MisSQN in the list of missing Stability Scores.
Thanks. |
This is now added in the 20180817 build
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admin
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20180818 build has minor update to documentation, Sqn and other new fitness scores etc added into stability scores.
Note stability scores will take a long time as it does a new WF for every fitness used. GUI shows stuck on 87% for some time.
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admin
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all ewfo code has expired.
You need 20190103 version
This is a 21 day trial
File deleted, newest file at top of this thread.
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boosted
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My EWFO is at least 1+ yrs old. I recently tried to use it but said my password had expired.
I am a paid client so does this EWFO update resolve the expiration issue?
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admin
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| Quote: Originally posted by boosted | My EWFO is at least 1+ yrs old. I recently tried to use it but said my password had expired.
I am a paid client so does this EWFO update resolve the expiration issue? |
It should fix it. If not get back to me and I will get a fix.
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admin
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A free update to EWFO is in the pipeline. It will have cluster analysis like the TS wfo.exe
I am hoping to have a modification to TS wf efficiency metric. I think its useless as is.
It measure the gradient of the in sample curve compared to the out of sample.
If the systems starts in mid 2007 the later results will be really poor efficiency metric.
The same system if started in 2005 would give outstanding figure.
Market conditions need to be factored in.
Im also add a few tweaks over the TS version too.
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admin
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Any one want to be a beta tester? Its nearly ready
Also has anchored and rolling parameter stability. in the past it was rolling only.
Shown here is results of GSBsys1es, the free GSB system
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Bruce
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| Quote: Originally posted by admin | Any one want to be a beta tester? Its nearly ready
Also has anchored and rolling parameter stability. in the past it was rolling only.
Shown here is results of GSBsys1es, the free GSB system
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You can put me down for a beta tester, this will this sit on my current license?
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admin
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| Quote: Originally posted by Bruce | | Quote: Originally posted by admin | Any one want to be a beta tester? Its nearly ready
Also has anchored and rolling parameter stability. in the past it was rolling only.
Shown here is results of GSBsys1es, the free GSB system
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You can put me down for a beta tester, this will this sit on my current license? |
Correct, just over write all files in current ewfo folder. WIll send in a few hours if it passes testing
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petrfin
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Perfect Peter!
please add me also as a beta tester.
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cotila1
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Thanks Peter, yes pls add me too
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admin
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Here are some screen shots of todays version.
It has added equity curve match, and oos / is ratio match
rolling parameter stability, anchored parameter stability, average of anchored ad rolling parameter stability
 
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admin
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Thread Pruned
23-4-2019 at 05:10 PM |
admin
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New EWFO is out. 20190516.6 build
Has cluster anaylsis, abilty to do a WF backwards and more.
EXE at the top of this post.
updated documentation
https://trademaid.info/gsbhelp/EnhancedWalkForwardOptimizerf...
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