[Simon]

Thank you!

[Simon]

Hi Petko,

I have just completed the whole course (perhaps I should do that before I ask any questions!), and discovered in video 12 – Building the Portfolio Experts – that MT5 is not supported for Portfolio Experts.

I think I have mentioned in other posts that I have to use MT5 from Pepperstone because that seems to be the only way I can get enough bars of historical data.

I hear that there may be a solution regarding historical data on the way soon, but in the event that this still does not solve my data problems, I may still have to stick with MT5 for data for the time being.

However, I really like the idea of portfolio experts, and would like to become familiar with them. I am wondering if the experts that you kindly provide with the course are compatible with all brokers/servers? Or must we use the broker and server from which you sourced the data for building the experts?

Cheers,

Simon

[Simon]

Thank you!

[Simon]

Thanks Petko 🙂

[Simon]

Thanks for the clarification!

[Simon]

Thank you Petko and Andi for helping me on this.

So, simply:

We want “Walk Forward optimization” to change the strategy that arrives into it and make it better by optimizing it, although it may produce an over-optimized strategy.

and

We want “Walk Forward validation” to try to improve the parameters of the strategy that arrives into it, and if it can’t, then we consider the strategy to be over-optimized. If it does find better parameters, they are NOT applied to the strategy, and the strategy that arrived in “Walk Forward validation” is validated as not over-optimized.

Thanks,

Simon

[Simon]

Thank you Petko, it’s reassuring to see that you also run the generator for a long time. I will relax the Acceptance Criteria and see what happens.

Regarding internet speeds, is it my local internet speed that decides how quickly the Reactor runs, or is it the internet speed of the server that EA Studio is hosted on? Just that I have just completed a 1440 min Reactor run, and only have 673679 strategies generated (only one browser tab open, 300K bars on M1)  – in theory, if I had left this to run for 4500 mins, I would have ended up with somewhere around 2.1M strategies, nowhere near your 10M!!

Cheers,

Simon

[Simon]

300,000 on M1

[Simon]

Hi Andi,

 

Thanks for your response!

I’m afraid I’m still a bit confused, particularly with how Walk Forward behaves in the “Optimization” section of the Reactor, and the “Robustness Testing” section.

 

Walk Forward optimization

So if a strategy passes the “Walk Forward optimization” stage of the Reactor, it is basically the same strategy that arrived into this section, but “Walk Forward optimization” performed optimization on the strategy, found better parameters, and made a “better” strategy, BUT, the strategy that has passed through “Walk Forward optimization” and has been validated, is actually the ORIGINAL one, which has now been shown to not be over-optimized??

Why would there be any need to then backtest the complete period of data again, if we are keeping the original strategy?

If “Walk Forward optimization” performs optimization on the original strategy , and can only come up with a worse strategy,  would the worse strategy pass validation?, or would both strategies be discarded, being that the original one was over-optimized, and the “worse” one was likely to be too, given that the “Walk Forward optimization” is designed to over-optimize?

Additionally, there is the option to be “In Sample” for “Walk Forward optimization”,  I would think that we would always want to be “Out Of Sample” for this part of the process, am I wrong?

 

Walk Forward validation

I’m not sure how this is different to “Walk Forward optimization”, other than it is actually for optimizing strategies on purpose?

You use the Optimization options in this section to optimize – how do we know we are not over-optimizing? How is this testing the robustness of the strategy?

And regarding the final backtest, is this where “Walk Forward validation” tweaks the parameters as it goes through the segments, and the parameter settings that are the result of the final segment being processed are then tested over the whole period of data again? The results of this final backtest deciding whether the strategy is valid or not?

Is the best use of this section to streamline a strategy, and then hope it passes Monte Carlo?

 

I hope I’ve asked these questions clearly, it’s almost as hard knowing what questions to ask, as it is figuring this out!

 

Thanks,

Simon

 

[Simon]

Hi Petko,

 

I have a question about the Walk Forward optimization tool..

 

My understanding is that the Walk Forward tool is for finding out if a strategy performs well on OOS data, and that if it does, then it is likely to be a robust strategy, ready for demo testing (possibly after some Monte Carlo testing as well), am I correct in this?

 

In video 8: “Walk Forward analysis”, from what I can gather, the Walk Forward tool is being used to try to over-optimize a strategy, to see if the original strategy is already over-optimized or not?

If the strategy is better after all the segments of the Walk Forward optimization have been calculated, then the original strategy is not over-optimized, and therefore the preferable one over the “better” optimized strategy?

And vice-versa; If the strategy is worse after all the segments of the Walk Forward optimization have been calculated, then the original strategy is  over-optimized, and therefore the not the preferable one over the “worse” optimized strategy?

Or have I got it really mixed up?…

Thanks,

Simon

[Simon]

Hey Petko,

I must have missed the update, I see you have indeed kindly made a video explaining the update to the OOS and Walk Forward parts of the Reactor, thank you very much indeed.

I will spend some time absorbing your advice.

Cheers,

Simon

[Simon]

Hi Petko,

I have no doubt you are a busy person!

The video I mean is the one in which you kindly offered to explain the intricacies of the Reactor, now that it has so many ways to use OOS and Walk Forward. It was in this post from earlier in this thread – https://eatradingacademy.com/forums/topic/forex-strategy-course-portfolio-trading-with-12-expert-advisors-questions/#post-17895

[Simon]

Hi Petko,

I hope you are well, just wondering if you will be uploading the video on the Reactor soon?

Many Thanks,

Simon

[Simon]

That’s really great Petko, thank you very much!

[Simon]

Yes, I can understand that it would be difficult to implement.

Perhaps a larger stop loss could help? Although in the past, I have been amazed at how often the spikes go just a little bit past my stop loss!!

Thank you for the reply 🙂

[Author]

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