Walk Forward Performance Metric Explorer Form Input

Walk Forward Performance Metric Explorer (WFPME) Input Definitions

PWFO Files Input Dir: Directory where the PWFO Files are Located
WFME Output Dir: Directory where the WFPME 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 WFPME 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 WFPME examines filters that satisfy each of these criteria: PF ≤ 1.5, 2, 2.5, 3, 3.5, + all. If the PF Text Box was set to [>] , then the WFPME would examine filters that satisfy each of these criteria: PF ≥ 1.5, 2, 2.5, 3, 3.5, 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. If you did not wish to use the PF filter then you would set the "By" box to zero(0).
LR <=: The LR filter range you want to examine. In this case you want to examine filters that satisfy each of these criteria: LR<= 2, 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. If you did not wish to use the LR filter then you would set the "By" box to zero(0).
NT >=: The minimum number of trades (NT) in the test section for each PF LR filter. In the example above the WFPME will does not filter for the minimum number of trades in the test section. 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).
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 “TOP N” 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 test section that had the Top 10 b0’s (Slope Of Trade Section Equity Trend Line) after the PF-LR-NT filters are applied. WFPME would show us only the rows that had the highest 10 values in the b0 column from the rows that are left after the PF-LR-NT filter had been applied Note: the WFPME 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 WFPME run will examine only 2 TOP N’s. If the last 2 boxes are left blank then the WFPME 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 20 or just 10. The PWFO Metrics, nT, std, mlb, lbr, mru-p, and dev(see the PWFO manual for these metric definitions) need a “Bottom N” search because we are looking for the minimum of these values. The WFPME automatically searches for the Bottom N of these metrics instead of the TOP N.
NT <=: The maximum number of trades allowed in the test sample for each WFPME filter.
Cost: This is the round trip slippage and commissions you wish to subtract from each trade.
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 WFPME write up
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.
Excel Icon: When this Icon is clicked the WFPME output is immediately displayed in your spreadsheet
WF Execution File: During run time this displays the PWFO file number and file name that the WFPME program is currently running
Execution Statistics: The run time execution status. In this example 26 out of 52 PWFO files have been processed. The elapsed time is 43.2 seconds and the estimated time left to finish is 43.2 seconds

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