Freeware notice. Freeware products from Aronow Software LLC are provided “as-is” and are unsupported. You may report any defects you encounter, however there are no guarantees they will be corrected.
Using the library
After installing the library (see below), select “Open Strategy” and choose the Walk Forward Optimization strategy:
Next, choose a symbol. Only single-symbol runs are supported; you may try a simulation on a full dataset, but the behavior is unknown and may cause Wealth-Lab to crash. You will be prompted for the following parameters:
- Strategy to Optimize
- Select any existing strategy. Set up your strategy in advance, making sure it contains Strategy Parameters and that the start/end values are not so large as to cause millions of runs. The number of runs is the product of the number of distinct parameter values, so choose parameters wisely.
- Position Sizing
- The position sizing to use during the optimization runs. Choose the same sizing you’ve chosen within Wealth-Lab (under the “Position Size” option on the left settings bar under “Data Range”).
- Lead Bars
- The number of bars at the beginning of the run to use as lead bars, which let indicators stabilize. See the WL4 Simulator help for more on lead bars.
- Optimization Period
- The number of bars in each optimization period. Each WFO optimization run is optimized over this number of bars.
- Trading Period
- The number of bars in each trading period. After each optimization period, the optimal parameters are chosen and traded over this number of bars.
- Performance Metric
- The metric used to choose the optimal parameters. It is calculated for each optimization run, and the parameters with the best value are used for trading during the next trading period.
- Exit Positions at Period End
- When checked, any positions still open at the end of each trading period are closed. Otherwise positions remain open until the system closes them, using the parameters from the prior trading period.
The status bar shows walk forward optimization progress. The WFO loops run first, then the trading loops. WFO loops use as many threads as your machine has processors, so a dual-core machine runs two threads at a time and a quad-core machine runs four. The trading loop runs single-threaded to ensure linear trade entry.
Notes
- The Wealth-Lab 5 Performance tab does not show results for any DLL-based script. The WL team is aware of this issue. The Trades tab correctly lists the trades and the equity curve also appears correctly.
- The Optimizer window is not modal, so if you click on something else it will disappear behind that window. If this happens, minimize other windows until it appears again.
Download
By agreeing, you confirm that the Wealth-Lab 5 Walk Forward Optimization Library is unsupported software and that you will not hold Aronow Software LLC liable for any problems you encounter when using it. If you do not agree to these terms you may not download, install, or use it.
I agree — downloadInstallation
Extract the DLL from the zip file and place it in your Wealth-Lab 5 program folder (generally C:\Program Files\Fidelity Investments\Wealth-Lab Pro 5). When you restart Wealth-Lab 5 it will automatically detect the new strategy. If the DLL already exists, overwrite the existing file when prompted.
The library is digitally signed by Aronow Software LLC.