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WFO settings for a fixed tumbling data window #487034
01/02/23 16:06
01/02/23 16:06
Joined: Nov 2022
Posts: 13
Tampa Bay
B
bigsmack Offline OP
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bigsmack  Offline OP
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Joined: Nov 2022
Posts: 13
Tampa Bay
Can somebody please help me set up my strategy so that 270 bars of historical data are required to determine the input parameter values to be used for the next 27 bars on 15-minute intraday data?

I could try some variants from the Walk Forward Optimization help but I'm not sure how to tell whether or not I have it set right.

Thanks!

So this is what I came up with and it seems correct to me. Does this seem like I am on the right track?

Test Period is 27 bars
Training Period is 270 bars

27 (Test Period) is 10% of 270 (Training Period)

Therefore:
DataSplit = 90; // 90% Training Period and 10% Test Period

Also from the Docs:
WFOPeriod is Alternative to NumWFOCycles; number of bars of one WFO cycle (training + test)

I define my training as 270 bars and Test Period is 27 bars so (training + test) is 270 + 27 = 297
Therfore:
WFOPeriod = 297; //( training + test)

So I then run my Training for
StartDate = 2022;
BarPeriod = 15;
EndDate = NOW;

With asset loaded from interface dropdown (ESH23 1 minute data)
and get files in my data folder:
Strategy_ESH23_1.par
to
Strategy_ESH23_208.par

This looks like roughly one per trading day which would be correct. My data actually had 28 bars per day so that would be 28 Test and 280 Training.

Last edited by bigsmack; 01/03/23 13:50.
Re: WFO settings for a fixed tumbling data window [Re: bigsmack] #487035
01/02/23 19:16
01/02/23 19:16
Joined: Aug 2017
Posts: 294
Netherlands
G
Grant Offline
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Grant  Offline
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G

Joined: Aug 2017
Posts: 294
Netherlands
Use the LookBack function to set the initial price history period, see https://zorro-project.com/manual/en/lookback.htm

The best way to verify your code is by posting it with specific questions or issues.

Re: WFO settings for a fixed tumbling data window [Re: Grant] #487038
01/03/23 13:52
01/03/23 13:52
Joined: Nov 2022
Posts: 13
Tampa Bay
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bigsmack Offline OP
Newbie
bigsmack  Offline OP
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Joined: Nov 2022
Posts: 13
Tampa Bay
Thanks Grant! I changed the post to put more information. I think I figured it out as long as I understand the WFO process.

Re: WFO settings for a fixed tumbling data window [Re: bigsmack] #487043
01/04/23 11:18
01/04/23 11:18
Joined: Aug 2017
Posts: 294
Netherlands
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Grant Offline
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Grant  Offline
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Joined: Aug 2017
Posts: 294
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When the market is open for 7 hours (not sure since I don't trade futures myself), then all of your settings look OK.
Setting EndDate to NOW isn't needed, but it's not wrong.

You've prob already read the manual, but it's always good to pay extra attention to the remarks, see https://zorro-project.com/manual/en/numwfocycles.htm

In case you experience any issues, then please post your screen output / logs for further analysis.
Best of luck!


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