Since
Version
>Adjusted BTWFMgr data collection to the new TradeStation 9.5 MultiThreaded Backtesting
>Allow only one Rank Definition for the smart ranking
>Added new Walk Forward Period options: - see WFPeriods.txt LIST
a) Monthly
b) Yearly (Floating) (full years from start of data)
c) Yearly (Jan1 fixed) (full years from first Jan 1st data point)
>Added new Walk Forward Period Anchored Option, which keeps the initial InSample(ISA) Starting date! - see sample spreadsheet Anchored.xls
>Strategy Preparation is now directly available - as an individual module: C:/BTWFMgr/BTPrep.exe
>Added new SQN Statistics: System Quality Number® (SQN®) developed by Dr. Tharp:|
to assist you to easily rank the success of your trading strategy:
Score: 1.6 – 1.9 Below average, but trade-able
Score: 2.0 – 2.4 Average
Score: 2.5 – 2.9 Good
Score: 3.0 – 5.0 Excellent
Score: 5.1 – 6.9 Superb
Score: 7.0 – Keep this up, and you may have the Holy Grail.
SQN is defined as: sqrt(Number of Trades) x Average(Trade$) / StandardDeviation(Trade$)
>Added a new Sequential and SQN branch to the WalkForward Treeview
>Added automatic export of the Strategy Input Parameter Analysis:
Example WalkFwd - click on the "RSILength" Input Parameter - creates: Input_RSILength.csv
>Added automatic ADMINISTRATOR rights check - see download page
>Added checkbox to Strategy Preparation for MultiCharts x64 platform:
>Improved backtest speed in MultiCharts for large backtest runs (8000+ permutations)
>Simplified the Strategy Code Preparation - see here
>Added automatic AmiBroker date conversion - see here
>Added converting Equity Data to "Potential data" (version 2.3h4)
>Adjusted the end of day potential exit:
EoDay:1 - exits when the date changes (midnight)
EoDay:1500 - exits when the bar time reaches 1500(3PM) or later
EoDay:0 - does not exit based on date or time
>Track PositionExitManager(PEM) details with configuration by increasing the PEM Verbose level to 1,2 or 3
Configuration/Position Exit Manager(PEM)/PEMVerbose:
>Made the MaxBar Position Exit Manager(PEM) optimization element optional (MaxBar:0,1)
>Corrected special Position Exit Manager( PEM) early exit issue
>Added also Commision to Walk Fwd Positions Export
>Corrected some typos
>Added menu options to the Funtions:
"WalkForward Period Manager" and "WalkForward Custom Period Manager"
>Added new "StartMaximized" switch in the General Config section,
to allow restoring of previous BTWFMgr Window Position and size
>Added "View Log" option also to Functions
>Added new PFMin filter, just checking if the ProfitFactor as above a minimum
>Added strategy input support also for numeric values with surrounding spaces: Example: RSILength( 21 )
>Replace Walk Fwd Result List OutOFSample header with OOS (Previously OSA)
>Added $AvgTrdAmt (Average Trade AMount) to list of items available in the Walk Fwd Sort
>Increased In/outSample Week values from 100 to 1000
>Added detailed Walk Foward Diagnostics description
>Added BTWFMgr support for AMIBROKER - for details see here
(Now also showing the WalkFwd saved filename)
:
(Can be turned off/on with "WFAConfirmNewData" Walk Fowrda Cfg switch)
> Added new Walk Forward operations for the Trade Permutation of a selected WalkFwd period,
just double click on the WalkFwd Period Number and a new menu will appear with Permutation functions:
>Added Base Folder for BTWFMgr screen captures:
>Added instant BTWFMgr screen capture renaming option:
>Added AmiBroker AFL synchronization - using the #include_once function:
a) Right-click on the permutation and select "Synchronize Strategy Parameter"
b) BTWFMgr will export all parameter for this permutation to a new AFL file,
which is included after the last "Optimize()" statement or //BTWF_END command:
//BTWF_END
#INCLUDE_ONCE "C:/Program Files/AmiBroker/Formulas/Systems/RSICross-Perm.afl"
//Inserting Parameter Values for Perm#747
c) A new AFL file is created with the exported values for the selected permutation (RSICross-Perm.afl):
//BTWFMgr strategy permutation parameter section for Permutation#747
EnableTextOutput(False);
RSILength = 14; //Input#001
OverSold = 15; //Input#002
OverBought = 90; //Input#003
EnableTextOutput(True);
>d) A confirmation box appears:
>Added "CalcPL" switch to enabled/disable profit loss re-calculation in the initial data conversion:
(in AmiBroker mode the "CalcPL" switch is always set to NO to match the results exactly to AmiBroker!)
>Added WalkFwd Total Equity normalization to the full data range.
The new WF Equity normalization is activated with the new Config Switch:
Both WF Equities are shown in the treeview: 5882.52=Normalized, 4980.00=Raw:
Example of Normalization Formula used: 50Weeks of available
data, using 10week ISA and 2week OSA
would amplify the equity by 25% (50weeks /40weeks)
>Added Smart Rank also to the Walk Fwd Result list,
which can be customized in the configuration under "Smart
Ranking" and
> Added ExitOnError switch defaulting to YES in the GENERAL config
section (when a file is not found)
> Added chart change detection between backtests when several
optimizations are lined up in tradestation and consecutively run
Strategy Potential & Probability Analysis/FilterInpValues
Example: 10/6=use top 10% of the SmartRanking1, 100/6=no filter (100%)
>Overview shows now initially the yearly performance graph
>Added WalkForward Save/Load/Sequence function - see here
>Added Overview Filter - see here
> Improved CSV File open - using [SYS] CSVEXE to explicitly open the Microsoft EXCEL.EXE program:
CSVEXE=C:/Program Files/Microsoft Office/Office/EXCEL.EXE
-OR- use Configuration General/CSVEXE
The first time you open a CSV file - it might take a few seconds to find EXCEL.EXE
- Improved Performance Analyzer (Version 1.2p10) - see here for details.
- Added new "View LogFile" button to help box
>Adjusted FOREX trading calculations and expanded display to 5 decimal digits
>Expanded Overview Module Equity Mode
>added support for Strategy input variables with type declarations:
Inputs: INT nLength(5), DOUBLE dFactor(1.45);
>added option to half the blue line in the 2D Input analysis for better scaling in many cases:
In the configuration set General/ShowAllHalf=YES
In the configuration set General/ShowAllHalf=NO - adding long and short:
>Improved partial exit logic
Permutation#537 (5 Inputs below)
Varied only: RSILength=14
All Inputs: RSILength=14, Overbought=70, ...
14,70,30,...
>Added new detailed Trading Event viewing Mode (Equity Mode only):
File/Open detailed Trading Event file (btwf2)
which will show the actual trading information received from the backtesting run
together with the associated strategy input parameter:
>Added a new function to filter only trading events which match your list of Strategy Parameters:
Specify the list in the BTWFMgr Config file directly (C:/BTWFMgr/WFOMgr.ini) - Example:
[BTWFMGR]
EvtFilterPar=RSILength=12, Overbought=70, ...
Convert Equity Data to Potential mode
a) Open your EasyLanguage STrategy Code in Tradestation (File/Open Doc...)
b) Highlight the entire text (Ctrl+A)
c) Copy to clipboard (Edit/Copy)
d) Open BTWFMgr and click on the blue exlamation mark button - or Functions/Prepare
e) Enter the Startegy name in to top pulldown field
f) Click on "Load from Clipboard"
g) BTWFMgr will generate the new text automatically and show the next text
h) paste the new text into teh Tardestation edit box and Verify
>Added Walk Fwd Analysis Distribution also when clicking on
"Sorted by XXX" in the WFA Branches
>Added Walk Fwd Analysis Statistics export to MS Access Database
>Added Export to database of all Trade Permutation statistics:
>Added Database License Manager to Help Dialog
>Added PDF and Web Help Link to Help Dialog
>Improved PreSort Function
>Added "MaxPosLoad" parameter to allow to adjust the limit of maximum positions (15Million)
>Added "MaxEvtLoad" parameter to allow to adjust the limit of maximum events (20Million)
C:/BTWFMgr/BT_YYYYMMDD_HHMMSS.jpg
(YYYY=Year, MM=Month, DD=Day, HH=Hour, MM=Minute, SS=Second)
>Added Result Distribution also for Sequential; Branch
>Added redesigned Walk Fwd Filter Manager:
>Added right click popup menu option for "Result Distribution" options:
>Added also Smart Ranking to "Result Distribution" function
>Added BTWFMgr base folder to "Show Properties":
Base: C:/BTWFMgr
>Added Avg Position Duration to "Show Properties":
10.29 Average Position Duration (Hours)
>Added Result distribution spreadsheet export to:
BTWFMgrFile{Criteria}.CSV - Example here
>Period manager checks now for compatibility of ISA/OSA types
Example: Weekly does not mix with daily
>Increased the treeview width default to 360 pixels
can be customized in Config: TreeView/TreeWidth
>Added option to NOT open the last data file on startup: Set CFG General/OpenLastFile=NO
9360 Trading Permutations (Avg 511.0 Positions per Permutation)
4.78 Mill Positions
>Added Result Distribution (File/Function/Result Distribution) or
in Toolbar
>Reduced Memory usage for Walk Fwd Analysis
>Consolidated automated analysis below:
>Added new automated Monthly (Jan, Feb etc) analysis
>Added new automated Weekday (Monday,Tuesday etc) analysis
>Added new automated and entry intraday time (10AM, 11AM etc) analysis
>Added new automated daily and Monthly (Jan 2008, Feb 2008 etc) analysis
for more details click here - http://www.profsoftware.com/bt/home.htm#TimeAna
>Added WeekDay analysis also to Potential Mode
>Improved EasyLanguage Modification Module to avoid the initial occasional VERIFY error
>shortened Strategy Parameter tooltip text in the treeview to show only the varied parameter
drag and drop the btwf2 file into the BTWFMgr window and select "6. Open as Trade Event List"
or use "Open with" and select the new BTWFEvt.exe module
for details click here
>Added Exporting of Trading Events to a spreadsheet
(right click and select "Export Trading Events")
>Improved Data Collection Module Sync check (c:/Windows/System32/PSS_BT.DLL)
>Added Data Collection Module Sync check to Help/About
>Improved "Strategy Parameter Synchronization" function
>Added Strategy Name display to Treeview and Properties Box
>Changed default Walk Fwd "Save Optimization Run Results" to OFF - for much faster performance
>Sort list of available periods (Weekly, Daily, Runs)
>Corrected currency futures profit loss calculations (@EC, @BP, @JY etc)
>Added Walk Forward Loading progress bar
a) Simplified - now you just have to open the Format Strategy Input box and
BTWFMgr will access it automatically find and adjust all matching parameter for you
b) BTWFMgr will also leave the Format Box open, so you can decide
if you want to apply the parameter - or "Set Default" or Cancel.
(right click on the Trade Permutation and select:"Synchronize Strategy Parameter")
>Expanded "Show Properties" information:
Commission:10.00$ (per Trade incl Slippage)
Amt/Point: 50.00$
Ticksize: 0.25000$
StartEqu: 100000.00$
>Added new Walk Forward Dimension for period Definition Set
>Added Walk Forward Analysis (WFA) Matrix 3D View
>Added In/OutOfSample Days
>Added WFA Matrix Spreadsheet
>Added WFA Overview Result Spreadsheet
>Added annualized Equity (OSA Days -> Year)
>Added WFA Dialog (Ctrl+A)
>Added WFA Filter/Sort/InSample/OutOfSample Equity Analysis
>Added converting Equity data to Potential data
>Added new recalcation for date % cutoff
>Enhanced Position tracking logic in the data collection function
>Added advanced match functions to WFA Formula - example PROM1.btwff:
(( ($AvgGainAmt * ($CntGain - sqrt($CntGain))) / ($AvgLossAmt * ($CntLoss - sqrt($CntLoss))) ) / Margin ) > PROMMin
>Simplified Data collection function calls and updated desacription page at eldmode.htm
>Added Event Viewer (File/Open Events) - then click on an event range
>Expanded Data collaction to up to 99 Inputs
>Added Select/Deselect aall Strategy Input Parameter in Strategy Modify Dialog
>Disable adding "nBTWFMgrExport" to Strategy Input tracking
>Added Probability to Input Parameter Analysis in Equity Mode
>Added Number of Trades to Input Parameter Analysis in Equity Mode
>Added Toolbar Scale button support change to Input Parameter Analysis in Equity Mode
>Added ability to compare all permutations against a reference trading/position list
Just drag the PerfAna file into the BTWFmgr Window
The new "CompareMaxDiffMinutes" cfg parameter defines the max nbr of entry time differences
(in Minutes) when Comparing Position Lists - added to the "Best Trade Permutation Analysis" cfg section
>Added "SkipLoosers=NO" switch for best permutation equity scanner
>Corrected Position Equity display
>Added Stock and FOREX support
>Added flexible Before and After Entry parameter to Chart settings for Position Display
(See Settings then Chart/BarsBeforeEntry=10 and BarsAfterEntry=100)
>Added a message when all trades in all permutations are skipped
(Skipped ALL trades in all permutations - (Looser=X, too little trades=Y, too many trades=Z)
(Adjust SkipLoosers, RRMinPos and MaxPosShow settings)
(PotentialMaxLoss=400 in Strategy Potential & Probability Analysis)
>Improved Position Exit Manager Descriptions (PEM)
(Switch ExportTrdPerm=YES in System section of preferences)
>Added Sorting by Equity/Probability/ProfitFactor/AvgTrd to
Position Exit Optimization Results display in Treeview
>Added Export to Text(TAB) and Microsoft Access(MDB) for all permutations
>Added Position Profit/Loss Distribution
(right click on Permutation and select "Position Profit/Loss Distribution"..)
>Reversed StopExp iteration in display
>Added menu to bring up the Potential and WalkFwd Samples (Help Menu)
>Default scale for Input Parameter analysis in Equity is now equity avg
>Define Probability Levels in $ Amounts (ProbLevels$ = 50,100,150)
>Define Probability Level to be used for general avg (ProbLevel = 2, middle)
>Added manual Entry List (Potential) mode (see EntryExample1.btwf1/txt)
(less than 8 positions, see "MinRRCnt" in the configuration)
>Added Overview module
>Added Overview Spreadsheet export (click Overview toolbar button)
>Added "StockShares" to configuration for position size of stocks
>Added Symbol ranking and space display to Overview Display
>Added joined Excursion and Potential mode
>Added new Analysis type to Input Parameter Analysis - 12 analysis styles:
1,2,3=AllAvg ($,Tick,Yr), 4=PerYear(Yr$), 5=Prob(%),
6,7,8=PeakAvg ($,Tick,Yr), 9=TrdCnt, 10,11,12=Loss ($,Tick,Yr)
>Added PSS_F2.DLL version check for sync DLL in /Windows/System32
>Added version check to Overview scan modes
>Added customizing the 3 levels used for Probability - ProbLevels=10,20,30 (in ticks)
>Added Potential Probability scanning for the best overall probability
>Added Potential Probability best display to treeview
>Added WalkForward OSA Overlap post processing: OSAStyle
0=do not check for OSA overlap
1=delete overlap positions in the new WFO OSA period until no more overlap with the ending pos
2= delete overlap/last position in the current WFO OSA period
3=Like Style1, but allow different direction positions
4=Like Style2, but allow different direction positions
>Allow walk forward data to be moved with btwf1+3 files
>Allow to install in different drive - sync with the System/DRIVE setting in Cfg!
>Added Probability column to TreeView
>Added Probability column to best analysis spreadsheet and overview scanning
>Always show AvgTrd$ initially when an Input Variable Analysis is clicked,
on repeat click on the same input then toggle thru 5 Y scales
>Default to yearly display when clicking on best "Yearly" results in Strategy Potential
>Added RSI Sample Code
>Added global Max Position Age to Position Exit Optimization (to avoid extremely long durations)
>Added new Input Variable distribution charts: Trd$/Yearly$/Nbr of Trades/MaxLoss$
>Added RSI Potential Sample
>Added Stop Requested switch to "Position Exit Manager Optimization" interface
>Added new button to "Position Exit Manager Optimization" interface to
create a new exit definition around the optimal strategy potential result (All/.Long/Short)
>Added configuration for up/down steps around the strategy potential optimum (PEMUpDownSteps)
>Added new MaxBars termination to "Position Exit Manager Optimization" interface
to close position always after MaxBars (if not already closed) to avoid extremely long held positions
>Added Long/Short filter to Strategy Potential right click menu
>Added also Yearly Strategy Potential Categories to Treeview (All/Long/Short)
>Added skipping of positions which are too close to each other (RRMinDistPos=10 bar minimum)
>Improved Strategy potential Scanner to find best result for EACH Trade Permutation
>Added Long/Short Context Variable analysis
>Skip Permutations from Average Potential Graph which have insufficient Trades ( RRMinPos)
>Added parameter to limit the number of X Grid Lines (MaxGridLine)
>Added elimination of duplicate results in Best Trade/Potential TreeView (MakeBestUnique)
for one (or several symbols) for a the current startegy:
File/Scan previous BTWFMGr results
>Added copy function to generate new Strategy Exit definitions
>Added filter for context value variations: All/Long only/Short Only:
Strategy Potential & Risk/Reward Analysis/ContextLSFilter
>Added Overlap skip counter to Strategy Exit Optimizer
>Activated "Include EndOfData Exits" switch to Strategy Exit Optimizer
>Added switch to enable/disable automatic Walk Forward Optimization
after Auto Load - AUTOWFO
>Added switch to disable the Best Result Extraction:
Best Trade Permutation Analysis/CalcBestTrdPerm
>Cached extracted Best Results
after the TradeStation Optimization is completed
>Added flexible non-historic period Walk Forward parameter (WFOAddPeriod)
>Added flexible BTWFMgr home folder parameter (DRIVE)
>Added "View Period" button to Walk Forward Setup Dialog Box
>Added Walk Forward Parameter to allow for custom date shifts (WFODayShift)
>Added new previous Walk Forward Result load function (File/Open prev WFO Data)
>Added also Period Identifier to Walk Forward Optimizing Folder name F[Filter]+S[Sort]+P[Period]
>Added smart available Memory check to Context processing to avoid "Out of Memory" aborts
>Added OutOfSample Position Counter and Profit Factor to tree view display
(Ctrl+C or Yellow hammer tool)
>Improved Optimization detection - see here for details
>Added "Out of Memory" detection
>Added graceful recovery when available Memory exhausted
during initial Event processing (20Mill limit)
>Added best potential default to middle when no best result detected
>Added explicit Y Scale menu choices
>Added Performance Analyzer export to Position Exit Optimization
>Added spreadsheet export to Position Exit Optimization
>Added position attach/detach to Position Exit Optimization
>Added Walk Forward Spreadsheet display of the Optimization run overview
>Added Walk Forward Spreadsheet display of the global result overview
>Added direct Risk/Reward excursion/difference mode command
>Added automatic removal adjustment function when previous
Walk Forward optimization not found
>Added Toolbar tooltip texts
>Improved Event conversion speed
>Added autopilot execution also for Strategy Potential mode 2
>Integrated new License Manager
>Adjusted File extensions:
wfo1 -> btwf1, wfo2 -> btwf2, wfo3 -> btwf3, wfof -> btwff, wfos -> btwfs, wfox -> pemdef
Downloads
