A Walk Forward Matrix workflow for quickly exploring and discovering trading strategies across multiple markets and timeframes. Use it to test entry indicators and find approaches suited to your requirements. The included build config / custom project keeps the author's broker settings (symbol, engine, timeframe). After installing, set your own data in every task.
Description
Exploration into the world of Walk Forward Matrix that is quick to see results from which to get your feet wet. Have fun searching for what may work for your own given requirement. This is by no means an exhaustive dive into WFM but a place to start. The following graphics will give you an idea of what to expect but, as we all know, given the breadth of SQX your results may be different. I have included four sample results from this workflow. Keep in mind this workflow was built for speed of exploration, with some parameters set to minimum values not generally recommended.
To increase the speed of exploration and diversity in Entry Indicators, Build Ranking Maximum strategies to store was set to 10 with custom filters as shown.
Higher backtest precision as
Also take note cross checks includes 5 Additional Market tests, higher timeframe, lower timeframe, GBPUSD, USDCHF and Slippage
First: The Workflow
Second: Current symbols in project
Third: The 426-Main databank view of my results (strategies included in this article)
Fourth: As seen from Best Strategies So Far
And that will do it, explore away and remember to have fun.
Data and broker settings
The custom project was set up on the author's broker data:
• Engine: MetaTrader4
• Main symbol: EURUSD_M1_dukas, H1, 2003.05.05 – 2017.12.31
• Other symbols used in tasks: GBPUSD_M1_dukas, USDCHF_M1_dukas
These settings are not converted to your data automatically. If a symbol is not in your Data Manager, StrategyQuant X may use a different symbol and a shorter date range. Before you run it:
1. Open every task (Build, Retest, Monte Carlo…) and choose your own symbol, timeframe and engine on the Data tab.
2. Set the in-sample and out-of-sample dates to match your data.
3. Check spread, commission and slippage for your broker.
4. Save the project or config under your own name.