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Instead of tedious optimizations we may see the Walk-forward
progress of a trading system if we simply plot
the Roc(equity(),step).
Example:
In your indicator builder window paste the
// The trading systemD_ratio=1000*(H-L)/(H+L);Z=10;//
Optimize("Z",10,10,20,5);k0=250;//
Optimize("k0",250,200,300,50);RRR=DEMA(D_ratio,Z);AvD_ratio=MA(RRR,k0);K1=50;//
Optimize("K1",40,40,50,10);K2=0;//
Optimize("K2",0,0,50,10);D1=AvD_ratio*(1-0.01*K1);D2=AvD_ratio*(1+0.01*K2);F1=RRR>=D2;F2=RRR<=D1;Sell=F2;Buy=F1;Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=Sell;Cover=Buy;Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);//
The Equity progressE0=Equity();WFstep=200;//
calibrationwf1=ROC(e0,WFstep);Plot(wf1,"WFprogress",2,8);Plot(0,"",1,8);Title=Name()+"
the last "+WriteVal(WFstep,1.0)+" bars the system progress was
"+WriteVal(wf1,1.0)+" %";
The interpretation window will help read the 200-bar progress
of the system in the past.
In the att. gif, for a +1500% profitable 13-year period, you
may see the progress [and the risk] of the system for
WFstep=200, 300 and 400 bars interval.
The last [yellow] chart is interesting : If you have decided
to stay WFstep=880 bars with the system, you would
enjoy a +650% progress back in 2000, but you should admit zero
progress after last Friday close...
You may see now your system progress, hoping for the
lack of extended negative periods...
Dimitris Tsokakis
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Attachment:
WFprogress.gif
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