TradeStation Walk-Forward Optimizer

Optimizing Strategies in TradeStation to Prepare for WFO

Before you can use the TradeStation Walk-Forward Optimizer, you first need to optimize the inputs of the strategies applied to your chart.

From a TradeStation chart

1. Use the Format > Strategies menu sequence to access the Format Analysis Techniques & Strategies - Strategies tab.
2. From the Strategies tab list, select a strategy row containing inputs you want to optimize.
3. Click the Format button to access the Format Strategy <name> - Inputs tab.
   • Select an input Name containing values you want to optimize.
   • Click the Optimize button to access the Optimize dialog.
   • Enter the Start, Stop, and Increment values you want to use.  Click OK.
   • For more information about optimizing inputs, refer to optimization ranges.
4. Repeat steps 2-3 for each Strategy containing inputs to be optimized.
5. Under Optimization Details, select an optimization Type.

• Select Walk-Forward from the drop-down list.
• In the Walk-Forward Test Name box, enter the name you want WFO to use to identify the collection of Strategies you are optimizing.

 You are not allowed to use an underscore '_' character as part of the Generic strategy name because they already used by WFO to add additional parameters to the base file name.

6. Under Optimization Details, select an optimization Method.
   • Exhaustive - Performs a fixed number of optimization tests based on the input optimization values selected above.
   • Genetic (recommended) - Determines optimization test using a genetic algorithm and specified parameters. Click Suggest on the Advanced Settings dialog to have the parameters automatically set.

  To perform a reliable walk-forward analysis, it is important to provide the Walk-Forward Optimizer with a sufficient number of tests. We recommend a minimum test count of 1000 or greater when using either the exhaustive or genetic method.

7. Click the Advanced Settings button to access the Advanced Optimization Options dialog.
   • Under Optimization Report Settings, review and modify any values you choose.
   • Under Out-of-sample window, select an Exclude setting to specify the data that will be considered out-of-sample:

   • • Exclude first 0 % and last 0 % of data during optimization - specifies starting and ending data that is considered out-of-sample and not subject to optimization.  The recommended setting for these values are: Exclude first 0% and last 30% of data during optimization.

1. • Exclude data before MM-DD-YY and after MM-DD-YY - specifies dates for data that is considered out-of-sample and not subject to optimization.

• Click OK to exit the dialog and return to the Strategies tab.2

8. Click the Optimize button at the bottom right of the Strategies tab to perform the selected optimization.

  Hint: If the TradeStation optimizer indicates that the current optimization is going to perform more than 10000 tests, you can abort the optimization and increase the increment for the parameters being optimized, before restarting the optimization process again.

9. Launch the WFO by clicking the Walk-Forward Optimizer icon in the shortcut bar of the TradeStation platform.

When the optimization is finished you may exit from TradeStation completely if you want, because the Walk-Forward Test Name you created contains all the necessary information for WFO to be able to perform a complete Walk-forward analysis at a later stage.