Walk Forward Performance Explorer Form Input

Walk Forward Performance Explorer (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 this case you want to examine filters that satisfy each of these criteria: LR<= 3, 4, 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.
NT >=: The minimum number of trades (NT) in the test section for each PF LR filter. In the example above the WFPE will filter for the minimum number of trades in the test section of NT≥ 10, 14, all. 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 the “by” box to zero(0). Same goes for the PF and LR filters.
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 r2 (the test section equity curve regression correlation coefficient). For the [< or >] text box case ">" , as shown above, the WFPE only includes all cases in the test section that satisfy each of these criteria: r2≥ 60, 70, all. If the r2 Text Box was set to "<" , then the WFPE would examine filters that satisfy each of these criteria: r2≤ 60, 70, 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
Max # Trds: The maximum number of trades allowed in the test sample for each WFPE filter.
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 test 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 test section, are included.
Big File: If yes, y, a very large file is generated that lists each weeks oos profits and number of trades for each filter
Ave File: This is the output file shown in the WFPE write up
Cost: This is the round trip slippage and commissions you wish to subtract from each trade.
Excel Icon: When this Icon is clicked the WFPE output is immediately displayed in your 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

Top | Home