Ah oui et quand même, quand est ce que l’on peut dire qu’une stratégie a passé le Walk Forwad et peut potentiellement être mis en application en réel
A cela, voici les recommandations de Tradestation, que l’on peut discuter ici
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Test Results – Criteria
After a walk-forward optimization has been completed, the Test Results tab produces a summary of the test criteria for the selected walk-forward analysis. The summary is user friendly and includes comment why a specific test criteria was passed or failed.
Using the default settings, a trading strategy passes a walk-forward analysis if:
- It is overall profitable AND
- shows a Walk-Forward Efficiency of 50% or better AND
- 50% or more of all walk-forward tests were profitable AND
- shows an even distribution of profit, i.e. no individual time period contributed 50% or more of total net profit AND
- has a Maximum drawdown of less than 40%
If the strategy fail any of the individual tests, the strategy is failed overall and is deemed not suitable for real-time implementation / trading.
Since performance evaluation is something personal, WFO allows users to set the pass/fail percentages themselves using the Setup, Test Criteria Settings option. Note that the Initial capital setting is very important because it is used for all Maximum drawdown % calculations.
The possible test result outcomes can be summarized as follow:
| Test Criteria |
Result |
Condition |
| Overall Profitablility |
P |
Total Profit > 0 |
| F |
Total Profit <= 0 |
| Walk-forward Robustness |
PD |
Walk-Forward Efficiency >= 100% |
| P |
Walk-Forward Efficiency >= 50% |
| F |
Walk-Forward Efficiency < 50% |
| Consistency of profits |
PD |
80%+ of walk-forward tests were profitable |
| P |
50%+ of walk-forward tests were profitable |
| F |
<50% of walk-forward tests were profitable |
| Distribution of profits |
P |
No individual time period contributed 50%+ of total net profit |
| F |
One of the walk-forward runs contributed 50%+ of total net profit |
| Maximum drawdown |
P |
Maximum drawdown did not exceed 40% during any single run |
| F |
Maximum drawdown exceeded 40% |
| Key: |
PD |
= Pass with distinction |
| P |
= Pass |
| F |
= Failed |
.
