Walking on a treadmill

By Murray A. Ruggiero Jr.
E-mail: ruggieroassoc@aol.com.

When you start to tackle walk-forward analysis, you can reveal more questions than answers. Many of those questions are particularly important if you are automating the process, which is now possible with modern analysis software.
	In our 2005 series on walk-forward optimization in the print version of Futures (February, April and June) the code for the in-sample/out-of-sample testing was shown. This showed the basics of how to perform an optimization and then do an out-of-sample test, which is a large part of the macro.
	In this article, code fragments will be shown that deal with some of the new issues of walk-forward testing. This code includes both the TradersStudio macro and the Excel macro, which powers the analysis after the data table is created in Excel. 

Sub FutureArticleJune(TrainingWindowSize, SampleWindowSize)
ΠWe have not included Declare deleted to save space 

GetActiveSession()
    ' Get the name of the current active session for later use
    SessionName = TrStGetSessionName()
    NumWindows = getnumwalkforwardwindows(TrainingWindowSize,SampleWindowSize)

    ' Loop through each Of the windows
    SetActiveSession()
      OpenTrade = False
  xlstart(True)
xlopenworkbook(getprogrampath()&"\walktemplate.xlt")
    For i = 0 To NumWindows - 1
    getWalkForwardDates(TrainingWindowSize, i, StartTrainingDate,EndTrainingDate, SampleWindowSize, StartSampleDate, EndSampleDate)
        TrStSetSessionRunLongDates(StartTrainingDate,EndTrainingDate,False)
        ' Copy the session back to the live one and optimize
        TrStOptimizeSession()
        UseSession(SessionName)
        FindAllParameterKeysForSession()
        RunCount=GetParameterKeyCount()
        BestResults=-999999999
        ' Use the current session database data
        For Counter=0 To RunCount - 1
            ParamKey = GetParamStringForSession(Counter)
            FindSummResultsCombined(ParamKey)
            NP = GetSummResultsCombined("NetProfit")
            DD = GetSummResultsCombined("MAXDRAWDOWN")
            If Abs(DD) = 0 Then
                Results=0
            Else
                Results=  NP/Abs(DD)
            End If
            If Results>BestResults Then
                BestResults=Results
                BestKey=ParamKey
            End If
        Next
        TrStSetAllSystemRunArguments(BestKey)

        ' Double the length Of the out Of sample period
        RealStartSampleDate = StartSampleDate
        StartSampleDate = StartSampleDate - (EndSampleDate - StartSampleDate)

        TrStSetSessionRunLongDates(StartSampleDate,EndSampleDate,False)
        ' Run the session on the out Of sample period
        TrstRunSession()
        ' Get the trade by trades
        FindTradeByTradeAll(BestKey)

        ' Create a new worksheet with the name being Window#WINDOWNUM
       row=row+2
  WriteWalkHeaders(Row,i,BestKey,RealStartSampleDate,EndSampleDate)
        n = SizeTradeByTradeAll()
        row =row+2
        ' Loop through each Of the trades
        For Counter = 0 To n - 1
            ' check If we have an Open trade from the previous window
            
            ' make sure we only record the trades in the real sample period
             If i=1 Then 
             FirstTradeDate=GetAllTradeByTradeResults("EntryDate", Counter)
             Else
            FirstTradeDate=GetAllTradeByTradeResults("ExitDate", Counter)
               End If 
            If FirstTradeDate >= RealStartSampleDate Then
                row = row + 1
         ΠWrite the TradeByTrade for each block    
        WriteTBTWalk("WalkForwardTrades",row,Counter)
         
            EndIf
        Next
       
        ' Move on to the next window
    Next
  Π Fix the width of all columns for display purposes
       XLAutoFitColumn("WalkForwardTrades","A")
  Π Call repeated for each column
        XLAutoFitColumn("WalkForwardTrades","L")
   XLDisplayAlerts(False)  
  XLRunMacro("WalkTemplate1!TradesAll.TradesAll")
  MsgBox ("We are done.  Please examine the results and save them, when you are finished press OK")
Xlsaveas(getprogrampath()&‰WalkTest.xls‰)
  xlclose()
End Sub

This macro starts by calculating the number of windows based upon our parameters.  We loop through each window and set dates on which the optimization runs. The best set of parameters is run in an out-of-sample period, except this time the out-of-sample period starts at the end of the development period minus 200 bars and ends at the number of bars used in SampleWindowSize after the end of the development period.

The results for each window are then written in Excel. This process is repeated for each window.
	You can see at the end of the TradersStudio macro that an Excel macro named  "TradesAll()‰ is called. This is in the template that we are loading.
	This macro is stored in an Excel workbook and calls three different functions.

Public Sub TradesAll()
	TradesFix
	CreateTradeByTradeSheet
	CreateSummaryReport
End Sub

As long as you can paste in trade-by-trade windows in the format exported, you can use this macro. The code for the Excel template to create these reports is available for free at www.TradersStudio.com.
	
Murray A. Ruggiero Jr. is a consultant in East Haven, Conn. His firm, Ruggiero Associates develops market-timing systems. He is editor-in-chief of Inside Advantage Gold Club (www.iagoldclub.com) and is the author of Cybernetic Trading Strategies (John Wiley & Sons).