WFO for wealth-lab 5 - Wealth Lab Forum

headingwest

#1

11/2/2008 12:11 AM

Does anyone know if the walk forward scripts are available for WL5? If so how do I get them?

sgubba

#2

2/10/2009 9:10 AM

All you got to say Abrakadabra. :)

Eugene

#3

2/10/2009 9:29 AM

Dave Aronow have coded a Walk-Forward Optimization library for WLP5 a long while ago. It was actually functioning with v5.0 but the release of 5.1 broke compatibility and it stopped working.

sgubba

#4

2/10/2009 9:36 AM

Do we get the functionality back in 5.4?

I will see if I can get it up and running again and possibly dynamically link to the assemblies so it will work with any version. Not sure I can do that (easily) though.

Eugene do you know if this is something that will be included in WL 5 in the future (in a more robust fashion than my script)?
Dave

Cone

#6

2/13/2009 3:27 AM

Hi Dave. We'll get the basic Optimizer in 5.4. No plans for WFO in 5.4 or 5.5.

rb101

#7

11/26/2009 11:46 AM

Cone- any idea if walk forward will be in the next (big) iteration of WL you mentioned to be released next year?

Eugene

#8

11/26/2009 11:55 AM

No.

avishn

#9

1/25/2010 3:44 PM

I'm trying to code some WFO-like functionality around Community.Components runDonor() method. It seems that I can successfully run an external strategy with arbitrary parameter values. Also, using SystemResults I can extract some basic performance metrics such as NetProfit after the strategy is executed. My question is if there's a way to extract any other metrics such as Profit Factor, Exposure or Max Drawdown or I need to code them myself?

Here's the code I have so far (still a very long way to go). As you can see, it is using NetProfit as the sole optimization function.

CODE:
Please log in to see this code.

Details of the Donor class are not important here, it just buys at specific bar and sells the next bar...

Also... Still need to come up with a way to set start/end optimization bars and start/end trading bars.

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I'm trying to code some WFO-like functionality around Community.Components runDonor() method. It seems that I can successfully run an external strategy with arbitrary parameter values. Also, using SystemResults I can extract some basic performance metrics such as NetProfit after the strategy is executed. My question is if there's a way to extract any other metrics such as Profit Factor, Exposure or Max Drawdown or I need to code them myself?

Here's the code I have so far (still a very long way to go). As you can see, it is using NetProfit as the sole optimization function.
[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Components;

namespace WealthLab.Strategies {
	
	public class WFO : WealthScript {
		
		Utility u;
		
		Donor d;
		double[] bestParamValues;
		
		double maxNetProfit = Double.NegativeInfinity;
		
		protected override void Execute() {

u = new Utility(this);
			d = new Donor();
			
			bestParamValues = new double[d.Parameters.Count];
			
			NextParameter(0);	
			
			PrintDebug("-- Best parameter values ---");
			for (int i = 0; i < d.Parameters.Count; i++) {
				PrintDebug(d.Parameters[i].Name + " " + bestParamValues[i]);
			}

}
			
		protected void NextParameter(int ind) {
			if (ind < d.Parameters.Count) {
				StrategyParameter p = d.Parameters[ind];
				for (p.Value = p.Start; p.Value <= p.Stop; p.Value += p.Step) {
					NextParameter(ind+1);
				}
			} else {
				SystemPerformance sp = u.runDonor(d, Bars);		
				SystemResults res = sp.Results;
				if (res.NetProfit > maxNetProfit) {
					maxNetProfit = res.NetProfit;
					for (int i = 0; i < d.Parameters.Count; i++) {
						bestParamValues[i] = d.Parameters[i].Value;
					}
				}
			}
		}
		
	}

public class Donor : WealthScript{
		
		StrategyParameter barNumParam;
		int barNum;
		
		public Donor() {
			barNumParam = CreateParameter("Entry Bar #", 10, 8, 12, 1);
		}
		
		protected override void Execute() {
			barNum = barNumParam.ValueInt;
			for(int bar = 1; bar < Bars.Count; bar++) {
				if (IsLastPositionActive) {
					SellAtMarket(bar+1, LastActivePosition, "");
				} else {
					if (bar == barNum) {
						BuyAtMarket(bar+1);
					}
				}
			}
		}
		
	}
	
}
[/CODE]

Details of the Donor class are not important here, it just buys at specific bar and sells the next bar...

Also... Still need to come up with a way to set start/end optimization bars and start/end trading bars.

Eugene

#10

1/25/2010 5:00 PM

Andrew,

Firstly, there was a WFO library already coded by Dave Aronow of aronowsoftware.com - unfortunately, it's compatible with 5.1 only.

Good news: Wealth-Lab 5's Optimizer, like almost everything else, is extendable. This means, once we have the API documentation, you can code a walk-forward optimizer that will co-exist with the built-in ones.

avishn

#11

1/25/2010 8:38 PM

Yes, I did my due diligence and checked before started coding. There is Dave Aronow's WFO library mentioned previously in this very thread, but it is not 5.6-compatible.

As for the API, an open optimization interface would be welcomed as really great news, but I'm afraid we're beyond the point where anybody would take any mention that Fidelity someday publishes the API seriously. I already have two other projects stalled because the API documentation is not available.

Let me ask you this -- is there any contractual obligation preventing MS123 from publishing the API themselves?

Eugene

#12

1/26/2010 1:15 AM

Wish I could help you, at one time in the past we were publishing it - but the answer is yes.

DaveAronow

#13

1/26/2010 9:00 PM

I will see if I can open source the WFO library over the next few weeks but I suspect it will not be very useful as quite a bit has changed since 5.1. It no longer compiles and I doubt I will get time to fix it, then again maybe if I can get it published (cleaned up enough that I'm not embarrassed to let someone see it :P) someone else can take a hack at it.

Dave