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WalkForwardLight MT5


This is a simplified and effective version of the library for walk-forward analysis of trading experts. It collects data about the Expert’s trading during the optimization process in the MetaTrader tester and saves them to intermediate files in the MQL5Files directory. Then, based on these files, a cluster walk-forward report and rolling walk-forward reports that refine it are automatically built (all of them are in one HTML file). Using the WalkForwardBuilder MT5 auxiliary script, you can build other reports on the same intermediate files – for other optimization criteria. This is convenient because it eliminates the stage of repeated optimization in the tester. The script is free.

There is a similar library for MetaTrader 4 – WalkForwardLight. It has fewer features, it requires performing some operations manually.

A detailed User Guide is published in blogs.

This library performs walk-forward analysis using an unconventional method (for details, see the Manual). For those who want to follow the standard procedure more precisely, as far as possible when implemented on an embedded tester without external programs, there is the WalkForwardOptimizer MT5 library (also available in MetaTrader 4). It supports more operating modes and provides more flexibility in settings, but is correspondingly more complex and demanding on computer resources.

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