Walk Forward Results - WF Score (%) - allow to compare isolated OOS segment to original strategy of the same time segment.

Please allow comparison of the OOS from walk forward matrix to the original strategy of the same time segment in the 3D charts of WF Score (%) 

For instance in the screen shot. The first segment of OOS starts at 13.10.2019 and the last segment of OOS stops at 02.11.2020. Take the profit factor for entire OOS 13.10.2019 to 02.11.2020 and compare it to the profit factor of the original strategy between 13.10.2019 and 02.11.2020. It can be expressed as a percent increase.

Then we can really see if optimizing improves going forward or if the original strategy is actually better. Also, we can see the actual hotspots where actual improvements were made from the original in a non biased way.

Cheers




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  • Votes +12
  • Project StrategyQuant X
  • Type Feature
  • Status New
  • Priority Normal

History

b
#1

bentra

05.11.2020 05:36

Task created

b
#2

bentra

05.11.2020 05:36
Voted for this task.
b
#3

bentra

05.11.2020 06:22

Attachment Screenshot 45.png added

Attachment Screenshot 46.png added

Screenshot 46.png
(99.91 KiB)
Screenshot 45.png
(118.17 KiB)
m
#4

mabi

05.11.2020 08:02
Voted for this task.
o
#5

Enric

05.11.2020 08:54
Voted for this task.
IH
#6

clonex / Ivan Hudec

05.11.2020 12:26
Voted for this task.
AT
#7

AngelTalavera

05.11.2020 22:57
Voted for this task.
b
#8

bentra

09.11.2020 02:30

Subject changed from Walk Forward Results - compare OOS only to original strategy of the same time segment. to Walk Forward Results - WF Score (%) - allow to compare isolated OOS segment to original strategy of the same time segment.

Description changed:

Please allow comparison of the OOS from walk forward matrix to the original strategy of the same time segment in the 3D charts of WF Score (%)

For instance in the screen shot. The first segment of OOS starts at 13.10.2019 and the last segment of OOS stops at 02.11.2020. Take the profit factor for entire OOS 13.10.2019 to 02.11.2020 and compare it to the profit factor of the original strategy between 13.10.2019 and 02.11.2020. It can be expressed as a percent increase.

Cheers




k
#9

Karish

11.11.2020 08:35
Voted for this task.
KB
#10

kbtech

20.03.2022 21:02
Voted for this task.
a
#11

Venus

20.03.2022 21:04
Voted for this task.
CG
#12

Chris G

18.04.2022 18:38
Voted for this task.
JJ
#13

jjsb41

09.06.2022 12:36
Voted for this task.
Cc
#14

Cyber

12.06.2022 05:16
Voted for this task.
b
#15

bentra

17.04.2023 17:54

Attachment Screenshot_649.png added

Screenshot_649.png
(134.27 KiB)
What I mean is, I want to compare the yellow highlighted line (oos of the first segment of the WF) to the highlighted purple line (the original strategy line but using the same dates as the first segment of the WF oos) I want to know the metrics for each (we already have the yellow line metrics built in to SQX but not the purple line).

In fact, this is the ONLY thing I want to compare. This is how Martyn Tinsley's software (walk forward pro) works and probably others too. This is what makes sense.
E
#16

Emmanuel

17.04.2023 21:45
Voted for this task.

Votes: +12

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