Diamond Backtesting with Walk Forward Manager (BTWFMgr)

Welcome to the new cutting edge in trading strategy backtesting software: "Diamond Backtesting with Walk Forward Manager (BTWFMgr)" Analyze your trading strategy backtesting results - clear and sharp as a diamond BTWFMgr uses a visual and intuitive approach in presenting you the data and details - see below Run advanced Walk forward Analysis (extensive customization available: Filter, Sort, Periods: Weekly, Days, Runs etc) Use the powerful & advanced Reports and Tools - to optimize and evaluating your automated trading strategies For a quick introduction - we prepared several BTWFMgr Tutorial Videos  Extensive BTWFMgr documentation in the Online Manual or PDF  BTWFMgr is now available for TradeStation, Multicharts, SierraCharts and AmiBroker (soon also NinjaTrader8) We are available to create custom software for you - including fully automated trading with NinjaTrader8/Interactive Broker etc (developed by Professional Software Solutions - 30+ years software development) (Risk Disclosure)

The new BTWFMgr offers the following:

• Fully automated advanced Walk Forward Algorithm (click for details),
  providing you with realistic backtesting results, instead of the usual curve fitting unrealistic results
  saving you hours and days of hard manual labor, displays results ar 3D View or spreadsheet Matrix.
• Advanced visual Strategy Input Parameter Analysis
  providing you with a detailed visual analysis of the effect of EACH strategy input parameter variations on the overall result
• 3D + 2D visual Strategy Input Parameter Analysis
  providing you with a 3D visual analysis of the effect of two strategy input parameters variations on the overall result
• Powerful & innovative Trading Strategy Potential Analysis and Optimization
  allows you to detect the maximum trading opportunities and parameter optimums - using ONLY ENTRY POINTS
  before you develop the exit logic in your strategy.
• New Trading Probability Map
  allows you to detect the maximum probability areas - using 3 profit levels and ONLY ENTRY POINTS
• Identify the best Weekdays and Intraday entry times
  allows you detect the best (and worst) intraday entry times and weekdays for long, short and overall performance
• Strategy Position Exit Algorithm Optimization (using advanced integrated Position Exit Manager)
  providing you with the best Position Exit Definition - an advanced algorithm combining several position exit function like:
  exponential/linear Target, StopOut, Trailing, breakeven etc.
  All operating at a lightning speed of around 100,000 tests per second (which would take TradeStation days)
• Time and Weekday Analysis
  track which weekdays and intraday times are the best for long/short or overall trading
• Trading Frequency Analysis
  track how many trades occur on a monthly, weekly, daily or based on any of the parameters
• Visual Multi Timeframe/Symbol Analysis - Result Overview Module
  Detect the best performance from your symbol/timeframes backtest's sorted by Probability%, Yearly, PerTrdAvg or PeakAvg$
• Visual Profit/Loss Distribution Analysis
  showing average, best and worst positions profit/loss
• Visual Permutation Results Distribution Analysis
  showing how equity, drawdown, probability etc is distruibuted across all trading permutations, detecting outliers easily.
• Detect the lowest Volatility
  Find least nerve-wraking performance but with similar ending equity runs, usingthe integrated volatility analysis and smart ranking.
• Walk Forward Period and Position Viewer
  Allows you to view the current Walk Forward periods across the entire trading range with the positions being traded in the current permutation
• Export the results to a Microsoft Access Database (MDB)
  allowing you any advanced SQL queries and reports - to detect the best results - click here for an MDB example
• Correlate Context Values with best Potential
  You can add any variable in Potential Mode to the backtesting, so you can detect any correlation between context variable range(s) and favorable potential results.
• Instant Position Viewing + Excursions
  View the actual charts of each Position Entry, Exit and Risk/Reward excursion instantly
• Advanced Strategy Performance Ranking
  providing you with the a customizable powerful hybrid of Strategy result elements:
  4x Equity AND 2xDownDraw AND 2xProfitFactor etc
• Advanced Strategy Context Variables Analysis
  detects potential connections between best results and certain value ranges of any variable
• Instant Position Viewing
  provides you - with a mouse click - with the actual charts of each Position Entry, Exit and Risk/Reward excursion instantly,
  so you can evaluate also visually all entries and their performance - instead of using the cumbersome scrolling in the charts
• You can merge results from different markets/symbols into one new comprehensive result/graph
• Even Optimize the your Walk Forward Filter and Sort Parameter, selecting the best result for the out-of-sample test
• Accumulate automatically all the Walk Forward out of sample results into one comprehensive continuous result spreadsheet
• Export any result to the advanced Performance Analyzer for in depth analysis by TimeOfDay, Weekday etc. 
• Automated modification of your EasyLanguage Strategy Code, so you don't have to be familiar with EasyLanguge
• Export permutation statistics to a spreadsheet, for your custom analysis and sorting - click here Statistic example
• Multi Symbol/Basket testing with the new Backtesting Sequence Manager (BTSeqMgr) module
• BTWFMgr can also handle partial exits - for more details see here   

BTWFMgr can work with any data source, because BTWFMgr uses a modular approach, which translates the various data sources into a standard btwf1/2 format:

BTWFMgr works now also with Sierra Charts - with the new "Sierra Charts Backtester (PssSCBT)" module!

The only software previously offering also true strategy "Walk Forward" backtesting was
Grail Walk Forward Optimizer (GWFO) - discontinued as of Jun 1st, 2006
http://www.thegrailsystem.com/grail-trading-system-frame.htm

Advanced 3D visual Strategy Input Parameter Impact Analysis

BTWFMgr allows you to detect the effects and impact of two parameter settings on the overall result.
This helps you to make sure your backtest is covering the optimal range, or if you have to widen the testing range.
In the example below we show the RSI oversold/overbought parameter - showing an optimum at around 64/46:

Advanced 2D visual Strategy Input Parameter Analysis

BTWFMgr allows you to detect the effect of each parameter setting on the overall result.
This helps you to make sure your backtest is covering the optimal range, or if you have to widen the testing range.
Below is an example of the sample RSI Strategy - showing the performance of the RSI Length between 14 and 20 bars.
The red line shows the shorts only, green=longs only and thick blue=Avg long & shorts.
Here we captured the optimum ranges of RSILength, showing peaks:

The data from shown in the Strategy Input Parameter Analysis chart - is automatically exported,
in our example (WalkFwd) just clicking on the RSILength Input Parameter - creates: Input_RSILength.csv 

BIn the sample below (GainAmount), the optimum is at higher than $200,
so increasing/shifting the testing range should give you better results.

Trading Strategy Potential Analysis (TSPotAna)

Any trading strategy starts with the assumption/idea that entering at its specific entry points will (on average) indicate an expected move of the market.
With BTWFMgr you can now VERIFY if this assumption is correct - here are some examples how different strategies can perform:

Permanent Strategy Potential - best scenario Here is an example on the best type of strategy potential: The market moves in the predicted direction and stays there.

Temporary Strategy Potential Here is an example on the second best type of strategy potential: The market moves initially in the predicted direction, but then moves against you. So you have to adjust the “Strategy Exit Logic” accordingly: tighten the trailing stop after around 60 bars and set the target in the $60 area.

No Strategy Potential Here is an example of a strategy which has NO strategy potential: The market moves from the very beginning against you. You can save yourself a lot of time (and money), because even the best “Strategy Exit Logic” cannot give you consistent profits, when the entries have – on average – no potential! Try a different market and/or timeframe – or improve/invert the strategy logic.

Here is a more detailed view of the "BTWFMgr Strategy Potential Chart"

• Vertical axis shows Average profit,
  available scales: Tick units(shown below), Amount($), Percent and Amount per Year($)
• Horizontal axis shows the time since entry (number of bars since the buy/short entry, 0=at the entry)
• Thick green(gain)/red(loss) line is the smoothed Average Profit/Loss of the all positions
• Thick blue line is the overall Average of all the positions
• Thin blue line is the raw average of all positions at that entry distance
• The graph always starts out with a loss due to the commission/slippage (can be customized, default $15

If your strategy does not show a at least a temporay trading potential,
then ALL the other optimizations (even generic ones like Optimax etc)
and position exit variations will be in vain,
because the strategy does not have the essential behavior of predicting
(at least in the short term) the market move after the entry!

Strategy Probability Map

The "probability map" function, allows you to detect the best probability areas,
in the time based market response (Potential) analysis.
Below we can see an the best probability is reached after 75 bars,
for the three (customizable) target levels: $50(green), $100(magenta), $150(blue):

Identify lowest Volatility Equity Results

This function allows you identify which equity runs have the lowest volatility.
In the examples below we have the same ending equity ($5400)
but very different swings around the straight ideal income line (0% volatility):
Relatively smooth Volatility (8.13%) (Permutation 2289 in WalkFwd example:


Nerve-wracking high Volatility (17.37%) (Permutation 208 in WalkFwd example):

Identify the best Weekdays and Entry Intraday times

This function allows you identify the best weekday or intraday time for all, long or short trades.
In the sample below we can see that Monday is the best trading day:


In the Equity Time Analysis sample below we can see that 11:000 to 12:00 and 15:00 to 15:30 are the best trading times:
(You can adjust the time interval in the configuration: Treeview/EquTimeLength - the default is 30 minutes)


In the short side Potential Time Analysis sample below we can see that 13:43 to 15:43 are the best trading times:
 

Detect the Market Long/Short Bias

This function allows you to detect the general long or short bias (if any) of your strategy performance.
Also periods of strategy sub performances are shown: 

You can also use a more detailed weekly market long/short bias analysis:

To activate this market bias analysis - just click on the respective branch once:

Detect the Strategy Trading Frequency

This function allows you to detect how frequently your strategy is trading over time,
separated by long(green), short(red) and total trades(blue):

You can also see the more detailed weekly (and even daily) frequency analysis:

To activate this market bias analysis - just click on the respective branch twice:

Export Results to Microsoft Access Database

This function allows you export the permutation data and then run your own advanced SQL queries and/or reports
to detect the best results - click here for an MDB example
(just enable the export by setting Setting System/ExportTrdPer to YES and the next time you open an equity result - all permutations will be exported)

Correlate Context Values with best Potential

You can add any variable in Potential Mode to the backtesting,
so you can detect any correlation between context variable range(s) and favorable potential results.
In the example below, we use the angle exponential average (see PSS_RSISample workspace),
detecting that slightly downward angle (around minus 0.5264) offer the best returns for shorts(red): 

Instant Position Viewing

Provides you - with a mouse click - with the actual charts of each Position Entry, Exit and Risk/Reward excursion instantly, so you can evaluate also visually all entries and their performance - instead of using the cumbersome scrolling in the charts – in the example below we see:
a) the horizontal blue line (entry price)
b) maximum favorable excursion (green line)
c) maximum unfavorable excursion (red line)
d) Exit price (end of diagonal blue line):

Walk Forward Backtesting Method

Here are details about the Walk Forward Backtesting method offered by BTWFMgr

Visual Multi Timeframe/Symbol Analysis - Result Overview Module

After you have run several backtests for a strategy across symbols and/or timeframes,
you can quickly detect the best performances in Equity or Potential Mode!
For all Equity Mode results you can rank by Equity, Annualized Equity, Drawdown, Volatility%, Probablility% and ProfitFactor:
(the blue line shows the average probability of the top 10 results, the thin green the best and the blue the average of the top 100 results)
You can also apply result filter etc - more details here


For all Potential Mode results you can rank by Avg Trade$, Yearly Avg$, Probability%, etc.
calculated separately by long/short or long+short/merged trading,
below is a screen shot with the best potential probability results for shorts:
(the blue line shows the average probability of the top 10 results,
the thin green the best and the blue the average of the top 100 results)

Position Profit/Loss Distribution Analysis

The "Profit/Loss Distribution Analysis" tool contained in the BTWFMgr,
allows you to detect the best and worst trades at the specified distance after the entry.
Below is an example showing the profit/loss distribution of the 102 positions.
The average is $246 (horiz. green line) and we can see 59 winners (green) against 43 losers (red)
with the best profit of 2405.00$ and the worst loss at -1315.00$.
This analysis will also produce a detailed list of all trades:
Profit/Loss Distribution for Perm#148 after 90 Bars (Only Shorts - 102 Trades)
Average Profit/Loss: 246.77$
Average Duration : 3.88 Hrs (90 Bars)
Probability : 57.84 Percent (59 Winners, 43 Loosers)
  1. PL= 2405.00$ - 07/20/2006 08:40(Bar#06790)@708.6000 - Exit 07/20/2006 15:14@684.4000 - Dur 6.57 Hrs
  2. PL= 2165.00$ - 05/23/2006 09:40(Bar#03577)@735.0000 - Exit 05/23/2006 15:14@713.2000 - Dur 5.57 Hrs
  3. PL= 1805.00$ - 06/05/2006 10:31(Bar#04213)@739.9000 - Exit 06/05/2006 15:14@721.7000 - Dur 4.72 Hrs
     ...
100. PL= -695.00$ - 06/15/2006 09:53(Bar#05084)@700.5000 - Exit 06/15/2006 15:14@707.3000 - Dur 5.35 Hrs
101. PL= -785.00$ - 07/03/2006 08:40(Bar#05951)@728.8000 - Exit 07/03/2006 12:14@736.5000 - Dur 3.57 Hrs
102. PL= -1315.00$- 06/08/2006 12:54(Bar#04558)@699.3000 - Exit 06/08/2006 15:14@712.3000 - Dur 2.33 Hrs

Result Distribution Analysis

This function allows you to review ALL your backtesting permutation results,
checking that most results are acceptable - and not just a few unusual outliers.
Just click on the "Sorted by Equity" or "Sorted by Drawdown" etc" item in the Equity treeview,
or click on the toolbar icon   or from the Menu/Functions/Result Distribution.
The results are always sorted by the selected criteria across all trading permutations:
Below is an example of the Equity distribution, showing the sorted equities of all 3360 permutations with the Average around $3100:

Walk Forward Period and Position Viewer

This function allows you to view the current Walk Forward periods across the entire trading range with the positions being traded in the current permutation.
Just click twice on any trading permutation (green squares) and BTWFMgr will show you the Walk Forward periods across the entire trading range.
Below is a monthly Iin(blue)/OutSample(green) walk forward (custom) period setup.:


The blue areas show in "In-Sample"  periods with the green "Out-Of-Sample" periods.
At the bottom you see the long and short trades.
Just hover the mouse of the trades or In/OutSamples areas at view more details in the tooltip wiondow.
You can also right click on the trade permutation and select "Show Positions+Walk Forward Periods".

RISK DISCLOSURE:
Futures and forex trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing one's financial security or life style. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results.

HYPOTHETICAL PERFORMANCE DISCLAIMER: Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown; in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk of actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all which can adversely affect trading results.

ADDITIONAL DISCLAIMER: Professional Software Solutions(PSS), also known as PSS assumes no responsibility for your trading results. Past performance does not guarantee future performance and Professional Software Solutions does not make any performance representations or guarantees. Any chart or trading demonstration produced by Professional Software Solutions representing trades and using any systems/methods on the www.ProfSoftware.com website or in any advertisement, seminar, brochure, magazine or online demonstrations are to be considered hypothetical trades for educational purposes only. No trading system can guarantee profits. Hypothetical trading results can be unreliable.

Testimonials Disclosure: Testimonials appearing on this website may not be representative of other clients or customers and is not a guarantee of future performance or success.


© Copyright 2004-2023, Burkhard Eichberger, Professional Software Solutions - All Rights Reserved Worldwide.