mholstius Veteran   Posts: 175 Joined: 1/13/2017  User Profile | Good morning Tom… Thanks for your observations. Here’s a short explanation for the “walk forward” phrase applied to a period (say 2009-2017 in my chart); 1.You’re right - the systems (strategies) always generate trades based on their individual “triggers” (RSI level, MA cross, etc.) each day. 2. In the past, we’ve used various methods to find better results looking back over a period (say 2009-2017) by choosing which of those trades to select: Iterative Strategy Selection, maximizing a particular goal (CALMAR), etc. The problem with those methods is that we’ve been looking at things with the benefit of hindsight and picking a small set of trades from the larger pool that happen to fit well together over that period (can we say curve fitting?). We’re left with the possibility that the logic / rules used to do that while having the benefit of looking back won’t work at the HRE - so in essence the HRE becomes our FT… The difference using Expectancy… We still have the same large pool of trades every day - but as each trade triggers, the decision of whether to take the trade or not is based on the parameters in the Expectancy block at the time of the trade (“walking forward” & not in hindsight). In my example, I told it to look at the previous 6 trades in a symbol using that system (a pairing of Symbol and Strategy) – and if those 6 trades didn’t produce an AvgAPR of 75% then the trade won’t be entered. For every trade, it’s looking back at a sliding window of the previous 6 trades for that System / Symbol pair (or whatever settings you’ve chosen in the Expectancy Filter). It’s not a time period (X bars), and the decision might be different for the next trade for that pair because the “last 6 trades” window and results will change as it slides forward. I’m hoping we can feed it a lot of trades made by a lot of different pairs (symbol & system / strategy) and it’ll look back at the time of each trade and decide whether that particular pair’s “personality / performance” in the past (defined by the Expectancy Filter) was good enough to take its next trade. Will it work going forward at the HRE…??? We won’t know until we settle on an Expectancy setting that looks robust and actually trade it, but the equity curves produced in the development phase are different from what we’ve used in the past. The equity curve is now determined by the results of choosing which trade to take / reject based on the recent performance of each Symbol & System on the day of each trade - vs a decision of which trades we “would’ve taken” looking back over the entire time period. We’re attempting to make each day on the chart a “HRE decision” and see how those rules work walking forward. My hope is that we’ll be able to find a robust set of rules that will continue to work going forward because we’ll have a better representation of how it worked “at the HRE” in the past. Hope that helps, Mark | |
