The Walk Forward Input vs OSNP Explorer (WFINP) is a stand alone exe file that can be executed directly from your desktop icon or from the Windows Start Program menu.

Eliminating The Curve Fit Performance Results. One thing we do know about optimization is that the "best" input parameters found that produce the best performance results will produce an exact curve fit of the signal and the noise. In real time the noise will not repeat in the exact same manner and the "best" input parameters will create losses in real time from what looked like the holy grail in the optimization output. Thus if we eliminate the optimization cases with the very best performance results we are sure to eliminate many of the data mining system input parameters that fitted the past spurious and random price movements. We know from experience that very few good intraday systems can sustain profit factors above 5.0 over time. If we eliminate, from our optimization test sections, all cases that have profit factors greater than 5.0 we will probably eliminate most of the cases that are due to curve fitting the noise. In addition, since in real time it is tough to sustain more that five losses in a row and still keep trading, we will eliminate all those test section input cases that have more than five losses in a row. The WFINP eliminates the curve fitted results by filtering out of the PWFO file's test sections those input parameters that have Profit Factors(PF) greater than 5 and that have losers in a row of greater than 5. The WFINP then determines which strategy filtered inputs generate the statistically best average out-of-sample returns

WFINP Program Input Definitions

WF Files Input

Directory where the PWFO Files are Located

Output Directory

Directory where the WFINP 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 file name that PWFO created

Run ID

A unique ID for this WFINP run

Start File Date

The date, in TS Format, that the run is to start with. 0 = the first PWFO file in the input directory

End File Date

The date, in TS Format, that the run is to end with. * = last PWFO file in the input directory

PWFO Input Col

The input variable column numbers on the PWFO output. Note you must enter all inputs column numbers for the inputs that are optimized

PF<=5

This filter eliminates all input parameters in the test section that have Profit Factors(PF) greater than 5. Usually only curve fitted data has PF's greater than 5. This filter is user adjustable.

LR<=5

This filter eliminates input parameters in the test section that have Losers in a Row(LR) greater than 5. In real time trading it's difficult to trade a system with more than 5 losers in a row so we wish to only examine those input parameters that satisfy this LR filter. This filter is user adjustable.

Min # Trds

The minimum number of trades in each test sample that you wish to consider.

Max # Trds

The maximum number of trades in the test sample you wish to consider.

Tnp > 0

Yes(y) or No(n) only include those input variables that generated a Total Net Profit of greater then zero in the Test section

Big File

If yes a very large file is generated that lists each weeks oos profits for each input combination

Ave File

This is the output file shown in the WFINP write up

Excel Icon

When this Icon is clicked the WFINP output is immediately displayed in Excel

WF Execution File

During run time this displays the PWFO file number and file name that the WFINP program is running

Execution Statistics

The run time execution status. In this example 26 out of 53 files have been processed. The elapsed time is 12.6 seconds and the estimated time left to finish is 13.1 seconds

This summary is sorted by average out-of-sample profit per trade for one contract of the various strategy input parameters and printed out to in a comma delimited file by the WFINP. When the WFINP run is done just click on the Excel Icon next to the "Run" button and the WFINP output will appear in Excel as shown below

Below is a snippet of the output from a WFINP run sorted by the average out-of-sample profit per trade. This example shows the partial output file from a WFINP run on the PWFO files generated by the Repeat Median System that was run on E-Mini 5 minute bars for the 16 weeks of 3/12/04 to 6/25/04.

The WFINP Output Columns are defined as follows

• Row 1 is the PWFO, Stub, File Start Date, File End Date and number of weeks.
• Column A Row 2 = The Input Variable names
• Column A Rows 3 to LastRow = The Input Variable values. Example 75|.36|.02 means N=75, vup=.35, vdn=.02
• tOnp = Total out-of-sample(oos) net profit for these 16 weeks.
• mOsp = median oos net profit for the 16 weeks
• aOsp = Average oss net profit for the 16 weeks
• aanp = Average oos profit per trade
• aOnT = Average number of oos trades per week
• B0 = The 16 week trend of the out-of-sample weekly profits
• %P = The percentage of oos weeks that were profitable
• t = The student t statistic for the 16 weekly oos profits. The higher the t statistic the higher the probability that this result was not due to pure chance
• std = The standard deviation of the 16 weekly oos profits
• llw = The largest losing oos week
• eqDD = The oos equity drawdown
• lr = The largest number of losing oos weeks in a row
• # = The number of weeks this input produced a case. Note for some weeks there can be no cases that satisfy a given criteria.
• b00 = The straight line trend of the oos equity curve in $/week.
• Blw = The maximum number of weeks the oos equity curve was below the straight line equity fit.
• BE = Break even weeks. Assuming the average and standard deviation are from a normal distribution, this is the number of weeks you would have to trade to have a 99% probability that your oos equity is above zero.
• Notice: Past performance is no guarantee of future results

The Walk Forward Input vs OOS Explorer comes with a detailed manual explaining:

• How to setup and install the Walk Forward Input vs OOS Explorer. The Walk Forward Input vs OOS Explorer is a stand alone exe file that can be executed directly from your desktop icon or from the Windows Start Program menu.
• How to use the WFINP with your PWFO files.
• An explanation of each of the performance statistics columns.