My workflow with SQX include walk forward optimization for robustness testing
I recently tried custom setting of Optimization in WFO, hoping to avoid too many iteration for optimization
Only 3 categories were chosen for optimization. Symmetric variables parameter for long/short was intentionally disabled.
The strategy (WF Optimization - SW004-1 CL 15m_Strategy 9.1.131(4)) created after WFO produced parameters with different names of that appeared in the source code of strategy
This makes reproducing the compound OOS result in my trading platform (TS and multicharts) with walk forward historical results impossible as the source code incompatible with optimized parameters create
Instead of just showing the original source code, is it possible to get the source code for strategy after the walk forward result? Otherwise it lack the meaning of just getting the result without being able to test it on a trading platform.
Included in the attachments are the SQX files before and after WFO. The config file for the "Optimize strategies" task and the export WFParameter file are also included.
Thanks