[Build 114] Optimizer - Walk-Forward, hasn't been finished yet?

Sorry for the title of the thread, but I have been playing with the optimizer for several days now and have reached the conclusion that it is still in early stage beta/development



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.


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  • Votes +7
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

N
#1

nathan

13.11.2018 16:36

Task created

b
#2

bentra

13.11.2018 18:16
https://roadmap.strategyquant.com/tasks/sq4_3274
Def not working for sqx. Please vote. 

And 100% OOS stats should be working next update:
https://roadmap.strategyquant.com/tasks/sq4_3256



IH
#3

clonex / Ivan Hudec

14.11.2018 14:10
Voted for this task.
k
#4

Karish

14.11.2018 14:24
Voted for this task.
h
#5

hankeys

14.11.2018 14:25
Voted for this task.
o
#6

Enric

14.11.2018 17:58
Voted for this task.
l
#7

ludvick

14.11.2018 23:13
Voted for this task.
m
#8

mabi

15.11.2018 01:10
Voted for this task.
MF
#9

Mark Fric

20.11.2018 09:04

Status changed from New to Fixed

N
#10

nathan

20.11.2018 15:07
Not sure why this is marked as fixed?


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

b
#11

bentra

29.12.2018 21:45
Voted for this task.

Votes: +7

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