TradeStation Walk-Forward Optimizer

Setup Optimization Settings

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

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

The following section headings appear on the dialog:

Single Walk-Forward Analysis  

Shows the parameters for performing a single WFA.

• Prescribe # of walk-forward runs ( checked) - Indicates that you are specifying the number of walk-forward runs to perform.
• Out-Of-Sample % [  ] - Determines the number of out-of-sample bars for each walk-forward run as a percentage of the total bars in the first run.  
• Walk-Forward Runs [  ] - The number of individual walk-forward runs to be performed as part of the WFA.
  
• Prescribe # of walk-forward runs ( unchecked) - Indicates that WFO calculates the number of walk-forward runs based on the in-sample and out-of-sample bar settings.
• In-Sample Bars [  ] - Specifies the number of in-sample bars for the first anchored and each rolling walk-forward run.  
• Out-Of-Sample Bars [  ] - Specifies the number of out-of-sample bars to be used for each walk-forward run. 
• Anchored - Checking this settings indicates that an anchored walk-forward optimization will be performed.  When unchecked, a rolling work-forward optimization is performed.
• Monte Carlo - Checking this settings specifies that a Monte Carlo analysis will be run at the same time the single walk-forward analysis is performed (see Monte Carlo with Walk-Forward).  

Cluster Analysis: Matrix of Multiple Walk-Forward Analyses  

Shows the incremental parameters for performing a cluster analysis consisting of multiple WFAs in a cluster matrix.

• Prescribe # of walk-forward runs ( checked ) - Indicates that you are specifying the number of walk-forward runs for each incremental WFA within the cluster matrix.
• Out-Of-Sample %         Start [  ] / End [ ] / Increment [ ] - Determines the number of out-of-sample bars for a walk-forward run based on the percentage of the total bars in the first run of an incremental WFA.
• Walk-Forward Runs      Start [  ] / End [ ] / Increment [ ] - The number of walk-forward runs to be performed in an incremental WFA. 
• Prescribe # of Walk-forward runs ( unchecked ) - Indicates that WFO calculates the number of walk-forward runs for each incremental WFA based on its combination of in-sample and out-of-sample bar settings.
• In-Sample Bars            Start [  ] / End [ ] / Increment [ ] - Specifies the range of in-sample bars for the first anchored and each rolling walk-forward in an incremental WFA.  
• Out-Of-Sample Bars     Start [  ] / End [ ] / Increment [ ] - Specifies the range of out-of-sample bars for each walk-forward run in an incremental WFA.   
• Anchored - Checking this settings indicates that an anchored walk-forward optimization will be performed.  When unchecked, a rolling work-forward optimization is performed.
• Monte Carlo - Checking this settings specifies that a Monte Carlo analysis will be run at the same time that a multiple walk-forward analysis is performed (see Monte Carlo with Walk-Forward).  
  

   Cluster Analysis results for each checked/unchecked setting of Prescribe # of walk-forward runs and Anchored are saved as separate data sets that can be accessed using the Type drop-down on the Cluster Analysis tab of the WFO for the specified Walk-Forward Test Name .
 

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