Wfoprofit an train log meaning doubts

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Wfoprofit an train log meaning doubts #477773 07/26/19 21:57 07/26/19 21:57
Joined: Jul 2019 Posts: 26 M maxwellreturn OP Newbie
maxwellreturn OP Newbie M Joined: Jul 2019 Posts: 26	hi all i have to ask a dumb thing i think that i seriously need to understand and i didnt find anything in manual. i dont understand a thing about WalkForward. why in the train log i get various parameter that give a positive PPR and then in train report,the performance is so bad? even if i plotWFOprofit, the profit of every cycle is not the same of the train log PPR. Can appen that in the train log i got a PPR of 2.5 for a cycle and then in the graph of WFOprofit i got a negative profit. if i understood every WFo cycle have 2 part: a train part and a test part. is train report performance made by the sum of every wfo test cycle? i think the key is how i should interpret the train log. i post images to clarify my questions: [img]https://ibb.co/TY3834q [/img] [img]https://ibb.co/kXx1WZ7[/img] Last edited by maxwellreturn; 07/26/19 21:59.

Re: Wfoprofit an train log meaning doubts [Re: maxwellreturn] #477775 07/27/19 09:35 07/27/19 09:35
Joined: Apr 2008 Posts: 585 Austria Petra Support
Petra Support Joined: Apr 2008 Posts: 585 Austria	The train PPR is in sample and the WFO profit is out of sample, both can be totally different and WFO profit is always smaller.

Re: Wfoprofit an train log meaning doubts [Re: Petra] #477776 07/27/19 13:47 07/27/19 13:47
Joined: Jul 2019 Posts: 26 M maxwellreturn OP Newbie
maxwellreturn OP Newbie M Joined: Jul 2019 Posts: 26	ok thank you petra, so i have to ask you the meaning of 2 numbers in the first image that i ve posted.. i thought for example that the first and the third numbers(0.68 and 1.02)underlined in first image are related to the PPR of the In-Sample WFO cycle and the 2nd and 4th numbers(0.687 and 1.573) are related PPR of the OOS WFO cycle. Is that right? and if is that right why the WFO profit of the 4th cycle is negative and PRR is 1.573?

Re: Wfoprofit an train log meaning doubts [Re: maxwellreturn] #477796 07/29/19 17:12 07/29/19 17:12
Joined: Jul 2019 Posts: 26 M maxwellreturn OP Newbie
maxwellreturn OP Newbie M Joined: Jul 2019 Posts: 26	another question related to this interpretation is: what cycle is showed in the performance report at the end of the wfo training? itis often with less trade and better performance and in the "month profit tab" seems that it is a cycle relative to the last period. For example i wfo training 5 years with 10 cycle and with datasplit:80 the performance report is about 2018 to nowday

Re: Wfoprofit an train log meaning doubts [Re: maxwellreturn] #477803 07/30/19 06:27 07/30/19 06:27
Joined: Jul 2000 Posts: 27,978 Frankfurt jcl Chief Engineer
jcl Chief Engineer Joined: Jul 2000 Posts: 27,978 Frankfurt	The training log is only for troubleshooting, the numbers have no further relevance. The performance report is from all WFO cycles. You can see the tested period at the begin of the report. How WFO works is described in the manual and here: https://en.wikipedia.org/wiki/Walk_forward_optimization

Re: Wfoprofit an train log meaning doubts [Re: maxwellreturn] #477810 07/30/19 15:07 07/30/19 15:07
Joined: Jul 2019 Posts: 26 M maxwellreturn OP Newbie
maxwellreturn OP Newbie M Joined: Jul 2019 Posts: 26	thank you jcl i ve read all but i cant explain this: if i print the date of cycle's last bar with this code Code NumYears=5; NumWFOCycles = NumYears*2; ...... if(is(EXITRUN)) { print(TO_ANY,"DATEEND: %d/%d/%d",day(),month(),year()); } the test cycle in performance report start in Feb 2018 and the enddate of the first cycle is 25/5/2016 i dont get why??? if the performance report is the result of the sum of all wfo cycle OSS test it should be show a test form april or may 2016 no? [img]https://ibb.co/NYL2L0F[/img]

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