Package:  Diamond Backtesting with Walk-Forward Manager (BTWFMgr)

Diamond Backtesting with Walk-Forward Manager (BTWFMgr) offers the most advanced human interface available anywhere for defining, executing, summarizing, and visualizing complex sets of multiple walk-forward analyses.

The level of organization and insight this program offers into both In-Sample and Out-Of-Sample performance is truly impressive.

And, as icing on the cake, it's all available for your original full-period TradeStation, MultiCharts or AmiBroker raw optimization results as well!

CodeForTraders is pleased to offer Burkhard Eichberger's Diamond Backtesting with Walk Forward Manager as an outstanding WFA solution for all TradeStation, MultiCharts, and AmiBroker users.

What It Does

As a starting point, keep in mind that a single Walk-Forward Analysis (WFA) looks like this:

Got that?   OK, now get ready for warp speed ...

BTWFMgr anticipates the technician's need to define and run large sets of WFA's using differing IS and OOS periods in order to help find a robust re-optimization interval for any given strategy.

Unlike some other products, BTWFMgr doesn't merely take a single IS/OOS period definition and then run a single WFA.

Instead, BTWFMgr flexibly and easily lets the user define many candidate periods (storing the definitions in a period library), and then lets the user build a higher-level library of named multi-WFA sequences.

To run a test, the user chooses a WFA sequence, a Filter and a Sort.   One run of BTWFMgr is a combination of these 3 concepts executed together as a whole.

This is actually only one of quite a few complex testing, analysis and visualization operations that BTWFMgr can do.

What It Looks Like (WFA Setup)

Here's the 3-way combination choice dialog:

What are those 9 periods (in this case)?  Let's have a look:

On the right-hand side we see the 9 entries in the 'List of selected Period Setups'.

On the left-hand side we see the library of such definitions.  You can add all the definitions you want to the library, and you can use any/all of the definitions from the library in a particular WFA sequence.

Period definitions are allowable in days, weeks, or Runs/Pct, making them very flexible.

Filters and Sorts also have their own interfaces for creating named definitions and saving them in libraries:

The Filters and Sorts relate to fitness, and choosing the most desirable WFA results for further study and possible final choice to trade.  Filters let you rule out (eliminate) results that don't meet with your desired criteria (e.g. too few trades, PF too low, too many max losers in a row, etc.). 

Sorts perform ranking on the results that are left after the filter.  Another phrase for Sorts is "fitness ranking".  There are many ways to Sort (a virtually infinite set of definitions), and testing different ways to sort is a key advantage in discovering great WF trading setups.  IOW, the ubiquitous NetProfit statistic may not be the best way to rank optimized results for robustness out-of-sample.  BTWFMgr anticipates and meets the need for flexibility in fitness!

What It Looks Like (Results Display)

So far, we've only discussed (some of) the setup side of the program  BTWFMgr also shines on the output side, with extensive graphing, reporting, and Excel integration capabilities.

To begin with, BTWFMgr offers a highly organized, superior graphical interface to normal optimization results as initially generated during optimization in your platform (TradeStation, MultiCharts, or AmiBroker).

Many viewpoints are provided into the platform's "across all data" optimization performance, which is run prior to handing off the walk-forward chores to BTWFMgr itself.  You might be interested in the iterations with the Max Equity (of course!), or the lowest Avg Drawdown, or the highest Probability, etc.  The top-performers in each category are readily accessible (with the lesser performers grouped a level down).  All it takes is a click on an iteration to show its equity curve.  You can click your way thru the categories of interest very quickly.

If you want to really drill-in, you can view the course of every single trade that made up the equity curve:

Trades and their stats are directly exportable to Excel for those who want to do further "number crunching" or spreadsheet archiving on their own.

 Back up at the top level, there is even more.

Graphs are available to show you the effect on performance (across all the iterations) of every separate parameter of your strategy.

This kind of information can be extremely valuable in helping you to save time on future optimizations.  Take the example above.  The graph shows us definitively that there is little point in doing future optimizations on ResetLvlChoice.  It should simply be fixed at 2 (for this market and timeframe).  By doing this, you make all your future optimizations only 25% of the size they would have been, which allows you to process them 4 times faster.

Further, complete seasonality information for your strategy (performance by Day of Week, Time of Day, Month of Year) is automatically generated for each run:

No other package that we know of even comes close to this level of output analysis and presentation.

Then, once you have chosen a Filter/Sort/Period combination and allowed BTWFMgr to run the WFOs, you will have detailed information available for the the stitched-together OOS equity curves which result from the WFA.

At this point, this is not merely the info on runs of your strategy, this is info on walk-forward runs of your strategy.

Here we see walk-forward equity curves chosen from the high-sorting equity and probability iterations.

With the provided graphs, we can see at a glance which walk-forward Filters, Sorts and Periods performed for the market/strategy/timeframe combination:

BTWFMgr doesn't just leave you to find walk-forward setup (Filter/Sort/Period) in a haystack by hunting-and-pecking.  BTWFMgr tests for you all the possible setups you are interested in (per your own definitions/requirements) and gives you brilliantly organized "very best" and "near best" information that you can decide and act upon in short order.

By now you should be starting to get the picture.  BTWFMgr testing is so far beyond simple platform backtesting that traders with this information and traders without it are not even on the same playing field.

Other Elements of Note

BTWFMgr is very fast.  After a single pass of optimizing your strategy inside of your platform, all the necessary raw information is exported and  BTWFMgr's subsequent WFA is done completely externally at compiled language speed.

BTWFMgr has a special "Strategy Potential Analysis" mode which can be used to evaluate your strategy's entries before any exit rules are built in.  Why waste time and energy optimizing exits if your entries are terrible to begin with?!

Indeed, BTWFMgr introduces an innovative (but completely optional) strategy development lifecycle testing model that is logical, effective, and unlike anything you've seen elsewhere. 

Here's a list of specific features (too many to describe every one in detail here!):

What You Get

For each permanent license purchased, a permanent ability to operate BTWFMgr on up to 3 designated computers.

For each term license purchased, a temporary ability to operate BTWFMgr on up to 3 designated computers.

What It Costs

Single user, permanent licenses begin at $1199, and allow operation on up to 3 computers permanently.  This is certainly the best, most cost-effective purchase plan.  Considered over a 6 year period, the monthly cost is only $16.65 per month, for this highly advanced software.  Developed for you over the course of 6+ years (2004 - 2010), BTWFMgr is able to save you many thousands of dollars by helping you to avoid unnecessary trading losses.

Single user temporary licenses begin at $299 ($75 /month) for a 4 month block,  and allow operation on up to 3 computers for the license period.

Significant monthly savings may realized by purchasing a longer term -  $599 ($50 /month) for a 12  month block, or  $899 ($37.50 /month) for a 24  month block.   Again, operation by a single user on up to 3 computers for the license period is allowed.

So, for a cost that ranges from a pittance (if you take a permanent license up front), to less than a single losing trade per month (at the most expensive, short term, $75 month plan), you gain access to a tool that provides you serious walk-forward strategy testing which is leaps and bounds beyond your market competition (unless they are using this tool also).

How is that for a lovely Risk/Reward ratio?!  At these offering prices, there is simply no rational reason to forego the advantages that WFA provides.    Remember, these are the financial markets we analyzing here - what you don't know will hurt you! 

Why Purchase Through CodeForTraders?

CFT has many trading system products which are perfect candidates for the WFA delivered by BTWFMgr.  We'd like to get you up and running with everything you'll need to do market research that is far more advanced than you've ever done before.

As our "Thank You" for your order of BTWFMgr thru CFT, you may choose any 2 other CFT products and receive 50% off on the second (least expensive) of the two*.  This offer is good for up to 30 days after your BTWFMgr purchase.  When you are ready to choose, email questions@CodeForTraders.com with your intended selections and we'll send you payment instructions.

* offer applies once per  each BTWFMgr license purchased, cannot be combined with any other special offer

How You Get It

Click on one of the buttons below to purchase permanent or term licenses for a single user, or to get even deeper discounts on more licenses purchased for you and your friends at once.  If you have questions about which licenses to purchase, please inquire to questions@CodeForTraders.com.

Further instructions will be emailed to you after your PayPal payment is processed.  Please allow up to 3 business days for the complete transaction.

Please be aware of the caveats before you order.

Single-User Licenses (up to 3 machines per license):