Meyers

Analytics

Analytics

Advanced Mathematical Trading Strategies & Walk Forward Out-Of-Sample Analysis

applied to algorithmic trading of stocks, futures & forex

Info: (312) 280-1687 support@meyersanalytics.com

applied to algorithmic trading of stocks, futures & forex

Info: (312) 280-1687 support@meyersanalytics.com

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Power Walk Forward

Optimizer Walk Forward

Performance Explorer Walk Forward

Metric Explorer Walk Forward

Input Explorer Walk Forward

Surface Explorer Key Daily & Intraday

Trading Strategies Nth Order Fixed Memory

Polynomial Strategy Nth Order Fading Memory

Polynomial Strategy End Point Fast Fourier

Transform Strategy Goertzel DFT

Strategy Five Parameter

Parabolic Strategy Dennis Meyers

Working Papers

Optimizer Walk Forward

Performance Explorer Walk Forward

Metric Explorer Walk Forward

Input Explorer Walk Forward

Surface Explorer Key Daily & Intraday

Trading Strategies Nth Order Fixed Memory

Polynomial Strategy Nth Order Fading Memory

Polynomial Strategy End Point Fast Fourier

Transform Strategy Goertzel DFT

Strategy Five Parameter

Parabolic Strategy Dennis Meyers

Working Papers

- WF Files Input Dir
- Directory where the PWFO Files are Located
- Output Dir
- Directory where the WFME output files are 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 input created
- Run ID
- A unique ID for this WFME 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 WFME examines filters that satisfy each of these criteria: PF**≤**1.5, 2, 2.5, 3, + all. If the PF Text Box was set to**[>]**, then the WFME would examine filters that satisfy each of these criteria: PF**≥**1.5, 2, 2.5, 3, all.**All**means there is a run added where all PF's are considered, no matter what their value, for comparison in the final printout. The PF range and step box inputs can be changed by the user. If you did not wish to use the PF filter then you would set thebox to zero(0).*By* - LR LE
- The LR(Losing trades in a row) filter range you want to examine. In this case you want to examine filters that satisfy each of these criteria: LR<= 2, 3, 4, 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. If you did not wish to use the LR filter then you would set the
box to zero(0).*By* - WR GE
- The WR(Winning trades in a row) filter range you want to examine. In this case you want to examine filters that satisfy each of these criteria: WR>= 3, 5, all. Note there is a run added where all WR's are considered for comparison in the final printout. The WR range and step box inputs can be changed by the user. If you did not wish to use the WR filter then you would set the
box to zero(0) as in the form above.*By* - Min# Trds=
- The minimum number of trades (NT) in the in-sample section for each filter. In the example above the WFME filters for in-sample section number of trades
**≥**10. If you only wanted to filter for one NT, say NT**≥**10 then you would set the NT boxes to 10, 10, 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 thebox to zero(0).*By* - 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 thebox to zero(0) as shown above.*By* - Metric Top N Boxes (3 of them)
- This portion of the filter selects the rows in the PWFO file that have the TOP N (highest N) Metrics after the PF, LR and NT filters described above are applied. N can be any number like, 5, 10, 20 or any user input number. We use the term
because in the Excel AutoFilter if you select TOP 10 on any column it will display all rows that have the highest 10 values in that column. As an example suppose we wanted to examine only the PWFO rows in the in-sample section that had the Top 10 eqTrn's (Slope Of Trade Section Equity Trend Line) after the PF-LR-NT filters are applied. WFME would show us only the rows that had the highest 10 values in the eqTrn column from the rows that are left after the PF-LR-NT filter had been applied Note: the WFME can examine up to 3 TOP N's in one run (like the top5, top10 and top20). If the last Top N box is left blank then the WFME run will examine only 2 TOP N's. If the last 2 boxes are left blank then the WFME will only examine 1 TOP N. To cut down on the number of filters and reduce the probability that the best filter's results can be produced by chance, I usually use only 1 or 2 TOP N boxes like 5 and 10 or 10 and 50 or just 50. The PWFO Metrics, nT, std, mLb, tLb, m(RU-p),and mDev(see the PWFO manual for these metric definitions) need a*TOP N*search because we are looking for the minimum of these values. The WFME automatically searches for the Bottom N of these metrics instead of the TOP N.*Bottom N* - Top %N
- If
then the Top %N(N=0.5% or 1%, etc) Rows of the PWFO file are examined instead of the Top N Rows.*y* - Ave File
- if
The WFME Filter output file is written to disk as a Excel csv file*y* - Big File
- If
**y**, a very large csv file is generated that lists each weeks oos profits and number of trades for each filter. This file is used by our Excel Add-In to generate the equity plot, and data for any filter in the Ave File. - tOnp GT0
- If
**y**, then only filters that generate positive total net profits are written to the AVE and BIG csv files. - Tnp>0
- If this box is set to
**y**then all cases that satisfy the filters above but do not have the test 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. - Cost
- This is the round trip slippage and commissions you wish to subtract from each trade.
- Ave File Excel Icon
- When this Icon is clicked the WFME Walk Forward Results output is immediately displayed in your Excel spreadsheet
- Big File Excel Icon
- When this Icon is clicked the WFME Big File output is immediately displayed in your Excel spreadsheet. this is a very large file and is only used by out Excel Add-In to generate the equity plot and data for any chosen filter in the WFME Results output Excel file.
- Execution Statistics
- The run time execution status. During run time this displays the PWFO file number and file name that the WFME program is currently running and after the run time execution status.
- TS Dup Lines
- For TS set to
**2**. For MultiCharts set to**0**. Note after an optimization TS generates an additonal output line or two in the end of the PWFO files which are the inputs of the best total net profits found. These inputs are already in each pwfo files in the order they were run.