WFA evaluation problems

Thankyou Mark  for the improvements made in 117 release in WFA evaluation.
But there are other necessary improvements to be able to perform correctly the WFA evaluation process.


All these problems are explained in the two images attached.



These articles are full of very interesting tips about WFM, i think they can be very useful:
http://help.tradestation.com/09_01/tswfo/topics/about_wfo.htm
http://help.tradestation.com/09_01/tswfo/topics/cluster_analysis_evaluating_re-optimization.htmhttp://help.tradestation.com/09_01/tswfo/topics/frequently_asked_questions.htm#How_many_walk-forward_runs_should_be_done_to_validate_a_walk-forward_analysis_


ask me If you need more information


thankyou very much
Michele  

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  • Votes +15
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

mp
#1

Michele

05.01.2019 23:11

Task created

mp
#2

Michele

05.01.2019 23:14

Attachment 1.png added

Attachment 2.png added

Attachment Strategy 114108.sqx added

Attachment WF Matrix - Strategy 114108.sqx added

h
#3

hankeys

06.01.2019 15:46
Voted for this task.
IH
#4

clonex / Ivan Hudec

06.01.2019 18:35
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a
#5

Ash24FX

06.01.2019 18:57
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m
#6

mabi

06.01.2019 22:34
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RL
#7

rickliao

07.01.2019 04:46
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o
#8

Enric

07.01.2019 06:45
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DR
#9

mentaledge

07.01.2019 19:08
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JF
#10

Honzik

08.01.2019 15:26
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HH
#11

Hans

08.01.2019 19:17
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M
#12

MKquant

11.01.2019 07:48
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b
#13

bentra

11.01.2019 19:31
Voted for this task.
YJ
#14

extreme

19.01.2019 07:49
Voted for this task.
MF
#15

Mark Fric

21.01.2019 15:03

Status changed from New to In progress

N
#16

nathan

21.01.2019 22:43
Voted for this task.
MG
#17

maegop

23.01.2019 04:06
Voted for this task.
MF
#18

Mark Fric

23.01.2019 04:17

Status changed from In progress to Fixed

fixed reported issues.


But not everything that you reported is a bug - WF Average trade, WF Avg. profit per day, WF Max drawdown are computed correctly. They are not computed only from IS/OOS number of days or net profit, it is little bit more complicated. For drawdown, also initial capital is onvolved, for average trades they are computed using real trading days (not all days).


I also created new task to add manageable columns to WF results table.

k
#19

Karish

25.02.2019 12:23
Voted for this task.

Votes: +15

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