TradeStation Walk-Forward Optimizer

Setup Test Criteria

This dialog lets you review and set result criteria to customize your Walk-Forward Optimization tests.

• Access using the Setup > Test Criteria Settings menu sequence in the TradeStation Walk Forward Optimizer.

The following section headings appear on the dialog:

Criterion 1: Overall Profitability  

Shows the dollar amount below which WFO Total Profit receives a failing mark.

• Fail if Total Profit < $ [ N ] - Change N to set the minimum passing total profitability value.

Criterion 2: Walk-forward Robustness  

Shows the percent of attempts below which WFO Robustness receives a failing mark.

• Fail if Walk-Forward Efficiency <  [ N ] % - Change N to set the minimum passing efficiency percentage.

Criterion 3:  Consistency of Profits  

Shows the dollar amount below which WFO Total Profit receives a failing mark.

• Fail if less than [ N ] % of walk-forward tests were profitable - Change N to set the minimum passing percentage of profitable tests.

Criterion 4: Distribution of Profits  

Shows the % value (and type of profit) when WFO Distribution of Profits receives a failing mark.

• Fail if any single run contributed more than [ N  ] % of [ list ] - Change N to set the maximum percent of a listed profit value that a single run contributed to that value.

Criterion 5: Maximum Drawdown  

Shows the Initial Capital used to determine when the WFO Max Drawdown % receives a failing mark.

• Fail if maximum drawdown in any single run exceeded [ N ] % of [ selected ] - Change N to set the maximum contribution allowed for a single run as a percentage of the one of the three available drawdown choices.

Trade filter  

When checked, these filters switch off all trades for each run where the filter threshold is not met in that run.  Therefore, you should be aware of the impact that this might have on walk-forward optimizations that do not have a large number of trades to begin with.

Initial Capital $ [ ]  

• Initial Capital $ [ N ] - Change N to set the initial capital from which the drawdown can be calculated.

Walk-forward selection rule based on:  

Select the one the following settings on which the walk-forward selection rule will be based.

• Net Profit (default)
• Net Profit / MaxDrawdown  
• Pessimistic Run on Margin (PROM)
• Net Profit x Winners / MaxDrawdown  
• Net Profit / Total trades
• Expectancy Score
• Perfect Profit Correlation
• Weighed Fitness - Allows you to specify more than one walk-forward selection rule and to indicate the relative weighting of these rules one to another.  

 [  ] % x [ selection rule ]

 [  ] % x [ selection rule ]

 [  ] % x [ selection rule ]

For example, you might specify three rules with percentages of 50, 50, and 100.  Since the total of the three percentages is 200, this means that each of the first two are weighted at 50 out of 200 (25% of the total each) and the third would be weighted 100 out of 200 ( or 50% of the total).

Minimum required trades

Shows the recommended minimum number of in-sample trades to produce a valid test result.

• Promote walk-forward test solutions that have generated at least [ N ] trades during the in-sample period - Change N to set the number of trades required for a valid set of WFO test results.

• Click OK to apply changes or Cancel to exit without changes.