The Walk Forward Performance Metric Explorer (WFPME)

Available from Meyers Analytics

The Walk Forward Performance Metric Explorer (WFPME) reads all files generated by the PWFO and searches each PWFO file for a Top N-Metric-PF-LR filter that generates the best average out-of-sample performance. Here we define the “Top N” as the TOP 5 or Top 10 or Top user selectable number N. The Top N Metric-PF-LR filter first eliminates all cases in the PWFO test files that do not meet certain Profit Factor (PF), Losers in a row (LR) criteria. Then from the cases(rows) that are left meeting the PF-LR criteria, the WFPME chooses the rows that contain then Top N values of a PWFO Performance Metric. The PF, LR and Top N criteria ranges are user selectable generating many filter searches in one run. The WFPME is a stand alone exe program that is super fast and automatically displays it's extensive K-fold cross-validation statistical summary and results in Excel. In addition, using modern "Bootstrap" techniques, the WFPME calculates the probability of whether or not each filter's results were due to chance.

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