Walk Forward Performance Explorer v5 (WFPE) Input Definitions

PWFO Files Input Dir: Directory where the PWFO Files are Located
WFPE Output Dir: Directory where the WFPE output file is to be written
Green folder Icons: A click on these icons allow you to browse for the directory you wish to use
Stub: The Stub in the PWFO file name that the PWFO created
Run ID: A unique ID for this WFPE run set by the user.
Start File Date: The date, in TS Format, that the run is to start with. A 0 means the first PWFO file in the input directory
End File Date: The date, in TS Format, that the run is to end with. A * means the last PWFO file in the input directory
PF with Text Box [ < or > ]: The PF (Profit Factor) filter range you want to examine. For the text box case [<] as shown above, the WFPE examines filters that satisfy each of these criteria: PF ≤ 2, 2.5, 3, 3.5, 4, + all. If the PF Text Box was set to [>] , then the WFPE would examine filters that satisfy each of these criteria: PF ≥ 2, 2.5, 3, 3.5, 4, all. All means there is a run added where all PF's are considered for comparison in the final printout. The PF range and step box inputs can be changed by the user.
LR <=: The LR filter range you want to examine. In the example above you want to examine filters that satisfy each of these criteria: LR<= 5, all. Note there is a run added where all LR's are considered for comparison in the final printout. The LR range and step box inputs can be changed by the user.
Min # Trds: The minimum number of trades (NT) in the in-sample section for each PF LR filter. In the example above the WFPE will filter for the minimum number of trades in the in-sample section of NT≥ 12, all. Note there is a run added where all NT's are considered for comparison in the final printout. If you only wanted to filter for one NT, say NT≥12 then you would set the NT boxes to 12, 12, 1 respectively. The NT range and step box inputs can be changed by the user. If you did not wish to use the NT filter then you would set the By box to zero(0). Same goes for the PF and LR filters.
Max# Trds=: The maximum number of trades (NT) in the in-sample section filter. In the example above the WFME does not filter for Max# of trades. If you only wanted to filter for one NT, say NT≤50 then you would set the NT boxes to 50,50, 1 respectively. The NT range and step box inputs can be changed by the user. If you did not wish to use the NT filter then you would set the By box to zero(0) as shown above.
PWFO Metric Box and Box [ < or > ]: The Pwfo Metric and range you want to examine. In the above example, the Pwfo Metric box is set to the Pwfo metric r22 (the in-sample section equity curve 2nd order polynomial correlation coefficient). For the [< or >] text box case ">" , as shown above, the WFPE only includes all cases in the in-sample section that satisfy each of these criteria: r22≥ 60, 70, 80, all. If the r22 Text Box was set to "<" , then the WFPE would examine filters that satisfy each of these criteria: r22≤ 60, 70, 80 all. The PWFO Metric, range and step box inputs can be changed by the user. If you did not wish to use the Pwfo Metric filter then leave or set the Pwfo Metric box to a blank
Tnp>0: If this box is set to y then all cases that satisfy the filters above but do not have the in-sample total net profits (tnp) in the in-sample section greater than zero are eliminate. If this box is set to n then all cases that satisfy the filters above including the cases where tnp is negative in the in-sample section, are included.
WFR File: This is the output file shown in the WFPE write up
Big File: If yes, y, a very large file is generated that lists each weeks oos profits, number of trades and strategy inputs for each filter. This file is needed to generate the equity charts for any chosen filter.
Cost: This is the round trip slippage and commissions you wish to subtract from each trade.
WFR File Excel Icon: When this Icon is clicked the WFPE Walk Forward Results output is immediately displayed in your Excel spreadsheet
Big File Excel Icon: When this Icon is clicked the WFPE Big File output is immediately displayed in your Excel spreadsheet
WF Execution File: During run time this displays the PWFO file number and file name that the WFPE program is currently running
Execution Statistics: The run time execution status. In this example 44 out of 88 PWFO files have been processed. The elapsed time is 17.7 seconds and the estimated time left to finish is 17.7 seconds
TS Dup Lines: For TS set to 1. For Multicharts set to 0

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