Hello!!!

The program Wealth-Lab Developer has a section Work-Forward Optimization Control. This section contains the Number of Walk-Forward Intervals and Out-of-Sample Data% columns.

I decided to conduct a forward analysis of my strategy on Si futures. Time frame 5 minutes. MPR 3%. I set the period from 01/01/2015 to 12/31/2018.

I set the Number of Walk-Forward Intervals to 4 and Out-of-Sample Data% the value to 10 (Values ​​less than 10 and more than 50 are not set for some reason).

Produced forward analysis on the above values.

The result is the following:

1st penetration: In Sample Range the period from 01/05/2015 to 11/10/2017. Out of Sample Range from 10/11/2017 until 01/02/2018.

2nd penetration: In Sample Range the period from 04/27/2015 to 01/02/2018. Out of Sample Range from 01.02.2018 to 25.05.2018.

3rd penetration: In Sample Range the period from 08/18/2015 to 05/25/2018. Out of Sample Range from 05/25/2018 until 12/09/2018.

4th penetration: In Sample Range from 04.12.2015 to 12.09.2018. Out of Sample Range from 09/12/2018 until December 12, 2018.

Thus, 4 periods were optimized with terms of about 2 years 10 months 10 days. 4 periods were tested with terms of approximately 3 months and 20 days.

I need to make a forward analysis of the interval from 01/01/2015 to 31/12/2018 of the following periods:

1. 1st penetration: In Sample Range the period from 01/01/2015 to 31.12.2017. Out of Sample Range from 01/01/2018 until 30/06/2018.
2. 2nd penetration: In Sample Range the period from 07/01/2015 to 30.06.2018. Out of Sample Range from 30.06.2018 until 31.12.2018.

Please tell us what parameters and where you need to set to get forward analysis of the above period?

I also need to make a forward analysis of the interval from 01/01/2015 to 31/12/2018 of the following periods:

1. 1st penetration: In Sample Range the period from 01/01/2015 to 31.12.2017. Out of Sample Range from 01/01/2018 until 31/03/2018.
2. 2nd penetration: In Sample Range the period from 04/01/2015 to 31/03/2018. Out of Sample Range from 01/04/2018 until 30/06/2018.
3. 3rd penetration: In Sample Range from 30.06.2015 to 01.07.2018. Out of Sample Range from 01.07.2018 to 30.09.2018.
4. 4th penetration: In Sample Range from 10/01/2015 to 09/30/2018. Out of Sample Range from 10/01/2018 until 31/12/2018.

Please tell us what parameters and where you need to set to get forward analysis of the above period?

Hi,

It was requested by some to break the WFO periods in whole months (i.e. each period begins on the first day of the month / quarter and ends on the last day of the month / quarter):

https://www.wealth-lab.com/Forum/Posts/Thank-you-for-the-WFO-Optimizer-Walk-Forward-33718

But the answer is that currently, the selection of the IS and OOS periods is by bar count. There's no parameter or control to do what you wish WFO to do.