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Walk Forward Pro Release Notes

New functionality and features are continually released into the Walk Forward Pro software. Take advantage by reading our release notes.

08 Jan 2019

Build 2.6.0.343

Patch

Patch release to fix bug that caused the pre-assessment to wrongly state that EA code changes were not correctly made when using 'daily' data.
02 Jan 2019

Build 2.6.0.341

Walk Forward Optimization Schematic

A scematic now automatically shows the user what the Walk Forward Optimization will look like for their current settings. As settings change the schematic automatically updates.

Additional text to the right of the schematic informs the user of the duration for each in-sample optimization phase, and each walk forward phase.
30 Dec 2018

Build 2.6.0.340

Enhancement to Pre-Assessment Checks

Additional checks are now performed on the MT5 log files to check for an extended set of potential errors and issues that might affect the reliability of back test results.
18 Dec 2018

Build 2.6.0.337

Export Out-of-Sample data to spreadsheet

Ability to download Out-of-Sample chart data to a spreadsheet.

Ability to switch software licence from the user interface.

Introduction of a background cleanup process that removes files associated to any backtests that were cancelled / did not complete (after 14 days).
23 Oct 2018

Build 2.6.0.330

MetaTrader log file analysis

Built in analysis of MetaTrader log files to identify any potential issues with the optimization process.

Bug fix for accented characters in the Test Descripton.
04 Sept 2018

Build 2.6.0.317

Full Genetic Optimizations arrive for MT4

Optimizations for MT4 have now caught up with those for MT5. Full MT4 genetic optimizations now possible.

Removal of limit of 2 billion param combinations.

The ability to filter out low numbers of trades so that they are not selected during an optimization. This has a much bigger impact than you might think. It can significantly improve the effectiveness of the walk forward analysis process.

Ordering of in-sample optimization table and also ability to click on table to see its associated equity chart.
22 May 2018

Build 2.5.2.293

Genetic Optimization Edition

Genetic Walk Forward Optimizations

Walk Forward Pro now supports MT5 ‘genetic’ optimizations to allow a wider range of parameters to be optimized in a much shorter time. To use the genetic option, ensure that the checkbox shown on the settings screen below is checked. Don't worry if you are an MT4 user - genetic optimizations are coming for you very soon...

Additional Selection Basis

An additional ‘Selection Basis’ has been added as shown in the screenshot below (MT4 and MT5):

These are defined as follows:

Additional Performance Metric

A new selection performance metric has been added - 'Expectancy' (MT4 and MT5)
02 April 2018

Build 2.5.0.283
Walk Forward Pro 2.5 released - MT5 Multi Core Processing

Version 2.5 of Walk Forward Pro brings full support for the multi-processor capabilities of MT5. Walk Forward Pro can now take advantage of optimizations that use the cores of the local PC in addition to local area network agents and MQL5 cloud agents. Because MT4 does not support multi-processor testing, this release has less relevance to MT4 users. MT4 users should still upgrade however, to take advantage of some improved chart capabilities that are also released in this version.

The main settings that determine which cores/agents are used for optimizations can be found on the Settings screen.

Under the ‘Optimization Settings’ heading you will see a number of new checkboxes. In order to use the multi-core capability, the first checkbox should be checked. If you un-check it, then Walk Forward Pro will operate in the old way where MT5 continually starts and stops, running each iteration separately. The default setting is ‘checked’, and you will need to leave it like this in order to use the new functionality.

There are 3 additional checkboxes to select which type of cores/agents you would like to use:
- Local Cores (on the local PC where you run WFP)
- Local Network Farm Agents (on other PCs in your Local Area Network)
- MQL5 Cloud Network Agents
You can choose to use any combination of these in order to perform your test.

Using Local Cores

This option uses the cores on the PC where Walk Forward Pro and MT5 are installed. The use of multiple cores means that optimizations will complete much quicker. The more cores your local PC has, and the more powerful those cores are, the quicker the optimization.

Note that when using Local cores in MT5, you will only see a significant improvement in performance if your PC has more than one processor core. Many VPS starter packages only have a single core, and when this is the case, little benefit will be gained in terms of performance by using this option. Even so you should still use it because it will mean that MT5 does not need to continually start and stop during each optimization phase, saving a small amount of time.

Using Local Network Farm Agents

This option uses the cores on all the PCs that have been pre-configured as part of your MT5 local network farm. Note that this option will only work if you have already configured your network farm within MT5. You should test that this is working as expected in MetaTrader BEFORE attempting to use this option in Walk Forward Pro. In order to configure your MT5 Local Network Farm, we recommend you follow MetaQuotes guidance here https://www.mql5.com/en/articles/341

Using MQL5 Cloud Network Agents

In order to use agents from across the MQL5 Cloud Network, you must configure this in MT5 first (before using it from Walk Forward Pro).

Follow MetaQuotes guidance here https://www.mql5.com/en/articles/341 to set this capability up in MT5. To use this capability, you must ensure that the connected MT5 application:
- Is already signed into the MQL5 Cloud Network.
- Has sufficient credit in your MQL5 Account to allow the cloud agents to be used.
You must ensure that the cloud agents are working correctly when you perform a “manual” optimization in MT5 (not using Walk Forward Pro) before attempting to use this setting in Walk Forward Pro.

IMPORTANT NOTE: Use of the MQL5 Cloud Network is not free. The more you use the cloud network, the more you will need to pay MetaQuotes for this service. It is solely your responsibility to monitor your usage and cost. Trade Like A Machine Ltd will not be liable in any way for any costs you incur. To better understand cloud network costs, see the MetaQuotes documentation here: https://cloud.mql5.com/en/faq/payments

Combining Agents and Cores

Note that any combination of Local Cores, Local Network Farm, and the MQL5 Cloud Network can be used simultaneously to achieve faster optimizations.

Using Walk Forward Pro

You now use Walk Forward Pro in exactly the same way as you did previously. Following the pre-assessment, if you are using the multi-processor capability you should notice that the status bar appears with text similar to:

You can also confirm this is working by viewing the ‘Agents’ tab of the MT5 Strategy Tester as it runs in the background:

Additional charting improvements in this release

With the new multi-processor/distributed-agent capabilities of Walk Forward Pro/MT5, it is now possible to run optimizations with many more iterations than previously possible. This is good news, but did mean that certain aspects of the WFP application needed to be re-considered.

The main difference appears on the ‘In-Sample Optimizations’ screen. Previously, two bar charts were shown, representing i) the chosen performance selection criteria, and ii) The CAGR (Compound Annual Growth Rate) of the optimization undertaken (this old screen from version 2.0 is shown below).

The bar charts did not work well for the high numbers of iterations that are now possible. With the help from a number of our beta testers we came up with something that we believe is far better and provides the user with much more intelligence. It also copes fine with large numbers of iterations. The first replacement is a scatter chart that means the data is much more readable than the bar chart (see below). Secondly we replaced the CAGR bar chart with a heatmap of the iteration performance. The heatmap facilitates the visualization of any 2 optimization parameters on an X-Y heatmap, providing insight and intelligence regarding the performance of the values tested (See below).
18 December 2017

Build 2.0.0.216
Walk Forward Pro 2.0 release - The 'Machine Learning' Edition

The machine learning module within Walk Forward Pro is designed to help traders achieve better and more robust results from their trading systems. It does this by assisting with the choice of settings that are most likely to produce an optimal walk forward optimization (WFO).

As an example, it specifically addresses the following questions:
- How many stages should be used in the WFO?
- What ‘optimization to walk forward ratio’ should be used?
- How many variables can be simultaneously optimized without over-optimizing (sometimes termed over-fitting) the system?
- How much price data is needed to achieve statistical significance results?
The complexity for the trader arises because the answers to each of these questions are inter-related and a decision for one of the questions will affect the optimal settings needed for the others.

Although walk forward optimization is widely considered to be one of the best (if not the best) techniques available to test and optimize trading systems, the effectiveness of the process is often reduced by choosing inappropriate setting for the process. This leaves the trader with a system that will not reach its full potential, or even worse, with an over-optimized system that has little or no chance of producing consistent profits in a real-money account.

That is where the Machine Learning Module provides a solution.

Machine Learning Module

An analysis of the statistical analysis of in and out of sample phases is first performed:

The Machine Learning Algorithms then provide suggestions for the Walk Forward Analysis settings in order to achieve more robust results:

Direct comparisons between the traditional and machine learning tests are shown for easy comparison:

For a full description of the machine learning module, see our Machine Learning Manual
01 October 2017

Build 1.1.2.156
Walk Forward Pro 1.1 release

This build adds new functionality in the following areas:

A - Three new checks in the Pre-Assessment Module:
- Estimated statistical significance of the in-sample (IS) optimizations - Lack of statistical significance in the in-sample optimizations leads to a lack of predictive power to obtain the best parameters and can therefore be a major issue when back testing. This check warns the user up-front, when it is anticipated this will be a problem and suggests actions that the user can take to rectify.
- Estimated statistical significance of the out-of-sample (OOS) back tests - Lack of statistical significance in the out-of-sample back tests leads to traders making decisions about whether a system performs well enough to trade in a live, real money account, based on insufficient intelligence and so is a major issue. This pre-assessment check warns the user up-front, before the walk forward analysis runs if it estimates this is going to be a problem, saving the trader time. It also suggests what the trader can do to improve the OOS statistical significance.
- The final check makes an estimate of how long the full walk forward analysis process will take, and warns the user if this is an excessive length of time, giving you the chance of changing settings before the walk forward analysis starts
B - A bug has also been fixed where an unexpected error was shown when attemping to select an EA before Walk Forward Pro had been connected to a MetaTrader instance.
19 September 2017

Build 1.0.1.153

Support for MetaTrader Portable Mode

A - This capability originated from a customer request and means that Walk Forward Pro can now work with MetaTrader in 'portable mode', if users wish to run in this way. The setting to achieve this is now shown on the 'Platform Setup' screen as shown below. You can read more about portable mode on the MetaQuotes website here

B - Enhancement to error checking functionality and event logging
05 September 2017

Build 1.0.1.149

Minor Enhancement and Bug Fix

This builds adds the following:

A - Pre-live results are now also saved indefinitely alongside the standard WFA results, meaning when users re-open past WFA tests, they will also see the pre-live metrics that were ascertained at the time of the run.

B - One bug that caused a performance issue has been resolved.
26 August 2017

Build 1.0.1.142

Internationalization

Added capability so that Walk Forward Pro works when users who have set their decimal point to use a comma ( , ) instead of a period ( . ) in the Windows operating system regional settings.
10 July 2017

Build 1.0.1.129

Post-launch tidy up

Mostly bug fixes and cosmetic changes following the initial release and based on user feedback.

Thanks to our small number of initial customers who've help us get things right.
23 June 2017

Build 1.0.1.123

Initial product launch

Welcome to Walk Forward Pro 1.0! We think this is the start of something big.