TradeStation Walk-Forward Optimizer
After a walk-forward optimization has been completed, the Test Results tab produces a summary of the test criteria for the selected walk-forward analysis. The summary is user friendly and includes comment why a specific test criteria was passed or failed.
Using the default settings, a trading strategy passes a walk-forward analysis if:
If the strategy fail any of the individual tests, the strategy is failed overall and is deemed not suitable for real-time implementation / trading.
Since performance evaluation is something personal, WFO allows users to set the pass/fail percentages themselves using the Setup, Test Criteria Settings option. Note that the Initial capital setting is very important because it is used for all Maximum drawdown % calculations.
The possible test result outcomes can be summarized as follow:
|Overall Profitablility||P||Total Profit > 0|
|F||Total Profit <= 0|
|Walk-forward Robustness||PD||Walk-Forward Efficiency >= 100%|
|P||Walk-Forward Efficiency >= 50%|
|F||Walk-Forward Efficiency < 50%|
|Consistency of profits||PD||80%+ of walk-forward tests were profitable|
|P||50%+ of walk-forward tests were profitable|
|F||<50% of walk-forward tests were profitable|
|Distribution of profits||P||No individual time period contributed 50%+ of total net profit|
|F||One of the walk-forward runs contributed 50%+ of total net profit|
|Maximum drawdown||P||Maximum drawdown did not exceed 40% during any single run|
|F||Maximum drawdown exceeded 40%|
|Key:||PD||= Pass with distinction|
The Sensitivity Analysis tab lets you study the impact that a variations in a specific input may have on the performance of your strategy. Refer to Sensitivity Analysis for more information.