Note: 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.  

The Aronow Software LLC Wealth-Lab 5 Walk Forward Optimization Library is a Wealth-Lab strategy which allows walk forward optimization to be performed on any existing WL5 strategy using the existing strategy's Strategy Parameters. Note this is still a work in progress.

Using the Wealth-Lab 5 Walk Forward Optimization Library

After installing the Wealth-Lab 5 Walk Forward Optimization Library (see below), select "Open Strategy" and choose the Walk Forward Optimization strategy:

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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 WealthLab to crash).  You will be prompted for the following parameters:

  • Strategy to Optimize: Select any existing strategy.  Note that you will need to set up your strategy in advance, making sure the strategy contains Strategy Parameters and also that the defined start/end values for the parameters are not so large as to cause millions of runs.  The number of runs will be the product of the number of distinct parameter values so choose parameters wisely.
  • Position Sizing: Choose the position sizing to use during the optimization runs.  Be sure to choose the same sizing as you've chosen within WealthLab (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.  Lead bars are used to allow indicators to stabilize.  See the WL4 Simulator help for more information on lead bars.
  • Optimization Period: The number of bars in each optimization period.  Each WFO optimization run will be optimized over this number of bars.
  • Trading Period: The number of bars in each trading period.  After each WFO optimization is run over the number of bars in the optimization period selected above, the optimal parameters are chosen and traded over this number of bars. 
  • Performance Metric: The metric used to determine the optimal parameters for each optimization run.  This value will be calculated for each optimization run and the parameters with the best value of this metric will be used for trading during the next trading period.
  • Exit Positions at Period End: When this is checked, at the end of each trading period any positions still open will be closed.  If this is not checked positions will remain open until the system closes them (which will be done using the parameters from the prior trading period).
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The status bar will show the walk forward optimization progress.  Initially the WFO loops will be run, then the trading loops.  The WFO loops will run using multiple threads matching the number of processors on your machine.  So a dual core machine will run two threads at a time, and a quad core machine will run four threads at a time.  The trading loop is run single threaded to insure linear trade entry.
  • The Wealth-Lab 5 Performance tab does not show results for any DLL based script.  The WL team is aware of this issue and should fix it soon.  The trades tab correctly lists the trades and the equity curve also appears correctly.
  • The Optimizer window is not "modal" meaning if you click on something else it will disappear behind that window.  If this happens you will need to minimize other windows until it appears again. 

Downloading the Wealth-Lab 5 Walk Forward Optimization Library

To download the Wealth-Lab 5 Walk Forward Optimization Library, click the "I Agree" button below. By clicking the "I Agree" button below, you agree that the Wealth-Lab 5 Walk Forward Optimization Library  is unsupported software, and that you agree you will not hold Aronow Software LLC liable for any problems you may encounter when using the Wealth-Lab 5 Walk Forward Optimization Library. If you do not agree to these terms you may not download, install, or use the Wealth-Lab 5 Walk Forward Optimization Library.

File size: 16 KB

Installing the Wealth-Lab 5 Walk Forward Optimization Library

To install the Aronow Software LLC Wealth-Lab 5 Walk Forward Optimization Library, extract the DLL from the zip file you download after clicking I Agree, and place the DLL in your Wealth-Lab 5 Program Folder (generally "C:\Program Files\Fidelity Investments\Wealth-Lab Pro 5"). When you re-start Wealth-Lab 5 it will automatically detect the new provider.
If the DLL already exists, overwrite the existing file when prompted.
Note: The watchlist provider is digitally signed by Aronow Software LLC.