Walk Forward Optimization (WFO)

Author: techtrader007

Creation Date: 12/10/2010 12:09 PM

Wealth Lab » Wealth-Lab Developer/Pro » Walk Forward Optimization (WFO)

techtrader007

12/10/2010 12:09 PM

WL 6 has a lot of features, but I am missing a walk forward test to see to get robust systems.
Does this feature come or does someone program this like in WL4.

Eugene

12/10/2010 1:03 PM

Walk forward testing is currently not planned for WL6. However, if we have time next year we might consider taking a look at WFO development.

rmaskell

6/14/2012 5:04 PM

Hi Eugene

So we're nearly two years on from your post, and is there any plans for WFO?

Thanks

Robert

Eugene

6/16/2012 8:23 AM

Hi Robert,

Sorry, no short-term plans. For quite some time we've been focusing on some other priorities. Speaking of the long run, Wealth-Lab listens to its customers so who knows.

dan_rozenberg

7/3/2012 8:14 AM

Just posting to state that i am also interested in having a WFO tool.

EJoub

7/3/2012 8:29 AM

I don't think anyone will disagree.

Hi Eugene,

As you know, we are several WLD/WLP users which would like to have an WFO extension. Why you do not have any plan for ? I see on the open issues in the Wiki that there is a list of Enhancement requests without any entry for this feature. Is there a particular reason ?

Eugene

7/18/2013 3:55 AM

Alexandre,

There are serious plans for WFO.

abegy

7/18/2013 9:02 AM

Really nice :-)

kribel

#10

8/7/2013 5:00 AM

Hello Eugene,

I would also like to have this feature.

Can you give us a rough date when the WFO is about to come?

Many thanks,
Konstantin

Cone

#11

8/7/2013 5:15 AM

If all goes according to plan. Later this year, roughly.

kribel

#12

8/7/2013 5:19 AM

Hi Cone,

many thanks!

Cheers,
Konstantin

skalman99

#13

8/12/2013 5:18 AM

Hi

Glad to hear this! I am considering changing platform to get walk forward functionality, but would much prefer to have it in WL! To have the functionality of walk forward testing as described in "The Evaluation and Optimization of Trading Strategies" 2nd edition by Pardo would be ideal.

My thanks to Eugene for creating the very useful data provider "Random provider"!

Looking forward to the walk forward functionality.

Regards Jon Brewer

LenMoz

#14

8/19/2013 8:40 AM

Hi,

I, too am interested in WFO.

In the design of WFO, give some consideration to the NeuroLab extension. It may need a "Data Range" data selector similar to that used for backtesting.

Len

Eugene

#15

8/19/2013 10:53 AM

Hi Len,

Unfortunately, I don't think it's possible to put any more requests in the queue - it's already filled up with other Optimizer considerations and bugs.