"Forecast" data in Walk Forward Analysis

Hello everyone,

among the results provided in the report at the end of a Walk Forward Analysis, if you look at the bottom of the report itself you can find a forecast of the parameters to be used in the next real trading session.
I realized that those values are taken considering the last 5 years of the historical data,which is a very long period if compared with a WFA optimization perfomed on a 3:1 or 4:1 IS:OOS ratio on yearly data.

In fact it should be more reasonable to consider the parameters used in the last year if you want to increase the probabilities to adapt your system to current markets.

So why the forecast section has been designed to include the last 5 years of data?

Thanks in advance

Hello Leo,

Here is a detailed info on how Forecast is calculated in MC:
After the last segment, a series is taken whose length is equal to IS (or the entire range, if the calculation is Anchored), and it ends on the last bar WFA (coincides with the last bar of the series). Optimization is being carried out for this series. The set of inputs obtained as a result of such optimization is a forecast for auto trading.
For more info about the WFO report please see this page.

Thanks Polly. I'd like to ask how it has been decided to calculate the forecast. As far as I can see in the literature, the parameters to be used in the future are those selected in the last WFA segment, whereas the Forecast is calculated ina different way. Do you have any reference about the Forecast calculation?

Leo,

The forecast was designed that way according to internal documents. I’m not sure I can tell the exact reference.
If you’d like it to work differently, you can post your suggestion at our Project Management.
If it is popular among our users, our developers will review the possibility of adding it.

Polly,

I'n not quite sure how the way Multicharts calculates this data could be a secret.
Further, since I don't know the rationale of the actual calculation (the "secret" I'm asking for), how could I propose a different one?

Leo,

You can describe the way you’d like it to be calculated, so that the devs can evaluate it and modify it in case they believe it is necessary.
We’d be happy to hear your thoughts.