Tradestation: how to run a Walk Forward process
In order to be able to do use EWFO the a strategy has to be optimized in Tradestation.
The output of this optimization in Tradestation is a set of files which are read by EWFO.
Here is how to optimize a strategy in Tradestation as a preparation for EWFO:
1. Prepare the workspace / chart / strategy.
2. Format the strategy and set the optimization values for your strategy and click ok:
Explanation of why slippage and commission should be used in T.S. / M.C.
T.S. & M.C when using genetic optimization will tend to optimize most around the areas that give max fitness. (Normally net profit). If the peak values of a system were around $100,000 profit, with $10 average trade, 10,000 trades - this would not be trade able due to the average trade being too low. This means most of the genetic calculations are around a parameter set that has no interest to us.
If we used $12.50 per side slippage & commission, this will shift the fitness to be looking for higher average trade profits, and less trades. This is much more desirable.
3. In optimization Details set Type=Walk-Forward, choose a method (Exhaustive or Genetic) and enter the Walk-Forward Test Name and click Optimize:
Optionally change method from brute force to genetic. I prefer 10,000 iterations as a minimum, or using genetic - 10% of the iterations of brute force. Whatever number is larger. Normally I keep generations at 100. If optimization takes too long, you may have to lower the amount of iterations somewhat. Too few iterations will not give a robust Walk Forward.
4. Once the optimization has completed the optimization files have been created within the Tradestation installation directory under WFO/Data:
Once optimization has completed continue with “EWFO: Preparation for usage“.
This concludes the necessary activities in Tradestation.
Running EWFO.
Run the icon on the desktop
Ewfo will install here.
C:\Program Files (x86)\EWFO\
Note the in sample and out of sample curves and metrics are not very similar. This is far from ideal.
