WalkForwardDemo MT5
WalkForwardDemo - an expert with built-in library of step-forward optimization WalkForwardOptimizer (WFO), designed to showcase her work. The library allows to optimize, analyze and view advisor performance and its stability in the future unknown conditions in quotations, generate html-reports. Details about this kind of optimization (walk-forward optimization) - in the English Wikipedia.
In the process of optimization WFO creates a special global variables (they are stored in the "archive" file extension GVF) and CSV-file with data in MQL5 / Files folder. Then based on them automatically generates html-page with the results of decoding. Names GVF and HTML files with the same name of the CSV-file specified in the library through the parameter wfo_outputFile.
Expert generated using MQL5 Wizard based on two strategies - Envelopes and WPR. Principles and expert input parameters are described in the help of the modules of trade signals.
Library Settings are described in detail in the documentation library.
To quickly enable / disable the library, use the EnableWFO.
An example of the settings of this expert for WF optimization applied in the discussion.
report types
Depending on the parameters of WFO, the library can create different types of reports.
- Standard report step forward runs with a table containing the indices separately for optimized test periods and in one line, as well as the overall performance of the combined forward period. A report is generated with the forward stepwise analysis and as a clarifying report for cluster analysis;
- Cluster report with several tables containing annual income, efficiency, stability, integrity, and number of days in each coupling step for the window and the step sizes. A report is generated after the cluster optimization;
- Anchor report is similar to the standard, except that the window size is changed on every pass (in each row).
Standard and anchor reports indicate the passage of a room in the 1st column. Before restarting MetaTrader you can check each pass, opening the tab of "Optimization Results" tester and double-clicking on the line with the required parameters - it will load within the parameters of the passage of the adviser, and they can be run on the test.
In the standard reports data for the period of optimization are highlighted in blue, and in the test period - yellow. If step captures the "current" time (the final test date), it is highlighted in green, indicating that it is the last known parameters, and therefore applicable to current trade.
Metrics in reports
Annual profit - hypothetical profit counselor for a year when converted earned in proportion to the period of optimization and testing.
Efficiency - the ratio of annual profits for the test period and the period of optimization of the same run.
Stability - the profit percentage of passes among all passes forward.
Completeness - shows the number of forward steps made for specific combinations of window size and the forward-pitch may be less than the requested number during genetic optimization, because it misses some settings.
The number of days - for the translation step size of the interest in the days.
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