I want to do 3 simple things to begin with, or rather manipulate and compare 3 parts of the results data:
1) Compare the original non-optimized equity line (or other metrics) with the optimized equity line (or other metrics)
2) Compare the original non-optimized equity line (or other metrics) with the optimized 100% OOS equity line (or other metrics) derived from the walk-forward (these two periods will be the same, but SHORTER than (1) of course due to the Walk-Forward run in period).
3) Compare the optimized OOS equity line (or other metrics) derived from the walk-forward with the optimized IS equity line (or other metrics).
Being able to do this will allow some basic and fundamental questions to be answered:
Does the strategy respond to optimization (1)?
What is the Walk-Forward Efficiecny Ratio (3)?
Etc, Etc
I have tried every filter construction I can think of but cannot get this to work...Main data is not original data, but WFE results data....so loaded the strategy with cross check data Higher precision to compare to back-test on higher precision data (as a work around) to WF results, but it wont allow it, among many other filter contortions.
In sum, I think it is a data/filter construction problem - either its not functioning yet for WF in the optimizer, or I dont know how to use them - maybe some instructions? (I am pretty adept with them in builder, retester and crosschecks mind you)
I know we are no longer in beta, but this all feels like a work in progress still. Can someone confirm one way or the other? - and if it is production ready point me in the direction of some instructions for the walk forward part of the optimizer? All there is in the user guide is an explanation of the theory and a link that results in a 404 error: https://strategyquant.com/walk%20forward%20optimization
I have also seen perfectly mirrored equity lines and the incorporation of the walk forward 'run in' period in the walk forward results, as noted by other users on this forum, which adds to my impression the WF in optimizer might not have been finished yet. I am fine if it is still in beta, but would like to know before spending more time on strategy development in SQX platform.
It is still not possible to make the comparison. There is no way I can see that you can compare the IS Optimization results with OOS optimization results and calculate the walk forward efficiency ratio?
Could you perhaps explain for the benefit of myself and other how this can be done now this is "fixed' since there is nothing in the manual or online help documentation?
Thanks
Def not working for sqx. Please vote.
And 100% OOS stats should be working next update:
https://roadmap.strategyquant.com/tasks/sq4_3256