Walk Forward Matrix HELP!

Hi everyone. My name is Santi and I am new to this. My problem is that I don’t understand how the WFM works. Could someone explain it to me in a simple way? Because I don’t know what parameters to look for or if the parameters that come by default are fine and if a strategy has to pass them all? I really don’t get it, it’s the only thing I have problems with. I love the rest of SQX but WFM I don’t understand. I sit for several hours a day to try everything but I still haven’t figured out how to work with WFM. Any suggestions or advice?

Hello,

it sounds complicated but if go over these two articles it will be much clearer for you. Check this https://strategyquant.com/doc/strategyquant/walk-forward-optimization/ and this on WF Matrix https://strategyquant.com/doc/strategyquant/walk-forward-matrix/

about WFM you can read months and months on the websites through whole internet

but to be clear – you really want to use something you dont understand? because there are many users that dont use any optimisation at all and they could be profitable. For example i dont use WFM either

Tomas: I guess you are the same one who answers my emails when I need support. what an intelligent and multi-tasking man you must be. I want to thank you very much for taking the time to respond. Yesterday I found those articles and now the question I have is if it is really worth doing so many robustness tests to finally make an optimization that may not even pass the robustness tests. I mean, after going through the whole process of creating the strategy, why modify it? Unless the WFM is only used to test robustness in which case I don’t know what parameters to put for that purpose or if the default parameters are fine and you have to pass them all. you understand me? With all your experience and knowledge, do you fully recommend that I apply the WF or WFM or do you not think it is so important? Anyway, I thank you again for all the times that you have taken the trouble to answer my questions. thank you very much

Hankeys: No, I really don’t want to use something that I don’t understand but it seems important, so I try to understand it. for now I can’t find the sense to look for a strategy, do many tests to measure its robustness and that of its parameters, and then finish optimizing it. do you know what I mean? Do you have any advice to look for robust strategies or tests that can be done? You have an experience infinitely bigger than mine so maybe you can give me some advice that will help me start better. Thank you very much for answering

Hankeys, what’s the point of your answer? It provides almost zero help for the OP but certainly adds to the confusion for someone who doesn’t understand WF.

By all accounts you are a very experience and knowledgeable user of SQX so why throw the guy additional curve balls. Whilst I agree some dont use WFM that wasn’t his question.

Your first point about reading the whole internet doesn’t even make sense, the theory behind WFM isn’t rocket science, its simple enough when explained sufficiently.

Thankfully Tomas has pointed him in the right direction.

i think that WFM is something like rocket science – without experience it will tell user nothing.

what lenghts to use?

what parameters to optimize and what ranges to use (min/max/step)?

what will be the results ranking?

why to use WFM – did i want to optimize my strategy and use some WFM params to the future?

and its truth that read only the basics about WFM could take weeks – and this will be only the basics. And to evaluate it – how long will it take to prove that my WFM settings are correct and i am getting what i want – more robust strats?

what is the purpose of 2 very basic topics about WFM from 2015 from old SQ3?

So by your logic anything we don’t understand should be left well alone? Hang on a minute while I trash all my trading software and go back to throwing darts at the Financial Times to pick random stocks.

Come on bro, talk sense.

stick to the topic – those empty words will not help anyon

start with my questions about the WFM settings – what will be your answers and why?

I’m glad you mentioned this Jason. Hankeys does this very often. I think He/She means well, but often responds to requests for help with criticism.

Hankeys : I am sure you are a good person in real life, and I see you are knowledgeable in this industry. However, often times your replies are not helpful in growing a community. Your harsh and often critical responses discourage people from asking questions and seeking help.  If you don’t have a direct answer to the question, or guidance towards finding an answer, please don’t respond.

It is bad for the community we are trying to grow here.

Thank you all very much for the responses. I know that WFM is not rocket science and I also know that there is a lot of information out there but that is precisely the point, I would like to know what to look for, in which direction to go to find information. In SQX there are millions of combinations of parameters to use and it is clear that no one would have enough life to test all those combinations so I am looking for a little guidance when it comes to focusing on parameters that work better than others. Just that, I didn’t want to upset anyone. In all the principles as self-taught the most difficult part is to filter the information that is useful. Anyway thank you all. Surely soon I will be bothering you with some other question haha

Santi, this SQX video tutorial should help you understand  how to use Walk Forward analysis in SQX, and how a matrix of WF analyses can help you measure robustness . The video covers some settings you can use. I have also attached the WFM settings I use, in case they are helpful

https://www.youtube.com/watch?v=qakQKYUj0yA 

Also, it may be worth looking into the other robustness and optimization techniques. I highly recommend reading “The Evaluation and Optimization of Trading Strategies” by Robert Pardo, who is the creator of Walk Forward analysis.

He’s a very knowledgeable and personable guy — I’ve actually been chatting with him recently about optimizing strategies for automated options trading 🙂

Anyways, I hope this helps.