First of all: Having a working Walk-Forward-Analysis in WL7 is very valuable thing!
I designed my Walk Forward Analysis to use six years for the optimizer followed by one year of Out-Of-Sample Trading.
It turned out that I need a "Out of Sample Data %" of 14.286% to achieve this setup.
WL7 lets me enter just integer percentages.... Please give me some more decimal places.
Or even better: Allow me to specify "Out of Sample Range" in years or days also.
Also, after I checked In-Sample and Out-of-Sample Ranges it occurred me that WFO is using Strategy Settings->Data Range to calculate its iterations and I had to adjust this Data Range.
The new Data Range is accepted after a restart of WL only. :(
I designed my Walk Forward Analysis to use six years for the optimizer followed by one year of Out-Of-Sample Trading.
It turned out that I need a "Out of Sample Data %" of 14.286% to achieve this setup.
WL7 lets me enter just integer percentages.... Please give me some more decimal places.
Or even better: Allow me to specify "Out of Sample Range" in years or days also.
Also, after I checked In-Sample and Out-of-Sample Ranges it occurred me that WFO is using Strategy Settings->Data Range to calculate its iterations and I had to adjust this Data Range.
The new Data Range is accepted after a restart of WL only. :(
Rename
I also use a similar setup for WFO analysis:
5y or 6y in-sample; and
1y out-of-sample.
And I also find it very annoying to fiddle with the data range and OOS percentage to try to match the intervals that I have in mind. Being able to specify the intervals in an easier way would be very welcome.
As to the optimizer picking-up the date range: I don’t think that you need to restart WL; you can re-run a backtest with the new interval and then, when going to the WFO screen, I believe that it picked up the new interval. Still, it would be of course much better if it would happen immediately.
5y or 6y in-sample; and
1y out-of-sample.
And I also find it very annoying to fiddle with the data range and OOS percentage to try to match the intervals that I have in mind. Being able to specify the intervals in an easier way would be very welcome.
As to the optimizer picking-up the date range: I don’t think that you need to restart WL; you can re-run a backtest with the new interval and then, when going to the WFO screen, I believe that it picked up the new interval. Still, it would be of course much better if it would happen immediately.
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