Walk Forward Optimization Library for WL 5.0
Author: daronow
Creation Date: 4/17/2008 10:06 AM
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daronow

#1
Wealth-Lab Version 5 (.NET) 5.0

I've created a Walk Forward Optimization library for WealthLab 5.0 which will allow you to run a walk forward optimization of an existing WL 5.x strategy provided it has one or more StrategyParameters defined. For those of you not familiar with Walk Forward Optimization I suggest a google search, or viewing the walk forward optimization scripts in the code library (click code library on the left menu).

For more information about the Walk Forward Optimization Strategy see:

http://aronowsoftware.com/WalkForwardOptimization.aspx

As with all freeware this is unsupported, but I will attempt to fix any bugs found.

Dave Aronow
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Eugene

#2
Thanks Dave.

Unfortunately, I'm getting immediately crashed when trying to open a strategy containing Parameters. I ensured the single symbol mode and that the position sizing settings are identic. Shuffling the other options didn't help.

Is it ( date format || other regional settings ) sensitive?
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daronow

#3
It shouldn't be regional settings sensitive. Boy am I glad it's unsupported :P

Seriously, I'm not sure why it would crash. I uploaded a new version which includes a config file (that shouldn't matter but who knows) and also contains some more try/catch blocks on areas it could have problems with. Try installing that and see if there's any change.

Can you try running with Glitch Index since that's got a single parameter? Also, do you get a specific error (for example FileNotFoundException or something like that)?

I'll do some more testing tonight to see if I can find what's missing.

Dave
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Eugene

#4
Dave, thank you again. No need in testing please.

Good news: The 2nd version works.
Bad news: It started working when I uninstalled pre-release 5.1 and got back to 5.0.76.

The deal is that there is some change in 5.1 that affects your library.
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daronow

#5
That's fine, once you release 5.1 I'll recompile it and fix it if needed. Do you have a timetable for 5.1 (even a loose one -- for example in the next month or not likely until Sept)?

Dave
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Cone

#6
Around summertime.
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Eugene

#7
QUOTE:
That's fine, once you release 5.1 I'll recompile it and fix it if needed.


Hi Dave,

Just a heads-up that WLP 5.1 has been released, and you now can recompile the WFO Library. :)
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JDardon

#8
I know this is a bit old, but when I tried this on WL 6.2, it crashes upon startup. Is this completely incompatible for WL6.2 or is it just a recompile required?
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Eugene

#9
This is totally old. Dave actually have rebuilt and enhanced the strategy library for Version 6 compatibility. Not a native optimizer - but I got my own future plans for a V6 WFO Optimizer. Unfortunately, we never got it to release due to some error messages.
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JDardon

#10
Thanks Eugene....

1) so that means that DAve's library for v.6 is not available (the one on his web site is the one that makes WL crash).

2) Good to know that you will be developing a WFO Optimizer for WL natively. Do you think it will be available this year?
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Eugene

#11
1) Yes, it's not available anywhere currently.

2) It's one of my future projects, but will it work out or not, is hard to tell right now.
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JDardon

#12
If you need any beta testers for such a project, please count me in.
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kbellare

#13
Any update on either making Dave's library for v6 available or the one Eugene is building?
Alternately, if I had to develop my own WF loop in my code, how do i programmatically
1) Run the optimization (exhaustive or Monte Carlo) over 1 time period
2) Apply the settings with the highest metric (Profit Factor or Net Profit) to the symbols, and save the settings to a file/log so i can view it later
3) Run the strategy with optimal settings in Walk-Forward periods?

Not sure i've seen the libraries or code samples for 1 and 2 in the WL Script Programming Guide.

thanks
Kiran
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Eugene

#14
WFO is not dumped - just there's no immediate plans.

These threads might give you an idea or two for your custom development, make sure to check them out:

WFO for wealth-lab 5 - message #9 by avishn (in Strategy code)
Walk Forward Optimizer - message #2 by Eugene (in an Optimizer)