The Power Walk Forward Optimizer (PWFO) V3
Available from Meyers Analytics
The Power Walk Forward Optimizer (PWFO) is a cutting-edge automatic walk forward testing program that eliminates the ad hoc curve fitted performance results produced by optimization of strategy input values on spurious price movements. The PWFO allows you to perform a K-fold cross-validation on your strategy. No other walk forward software offers this ability. The PWFO prints the in-sample(test) performance results with the out-of-sample performance results on the same line to a spreadsheet comma delimited file for each case (input variable combination) of an optimization run. Included in the optimization output for each input case are new superior and robust in-sample performance metrics. The in-sample and out-of-sample periods are user selectable in days or exact calendar months. The PWFO allows the user to code up to five of his own performance metrics in EasyLanguage which is then included with the PWFO performance metrics on each case line. The PWFO can generate up to 500 different in-sample and out-of-sample date optimization files in one TS run saving the user from having to generate optimization runs one at a time. The PWFO output allows you to quickly determine whether your procedure for selecting input parameters for your strategy just curve fits the data and noise or produces statistically valid positive out-of-sample results.