The FDC Walk Forward Trader

You have done all of your research.  You have trade-simulated the heck out of the market.  You are now ready to trade.  However, in the heat of the battle, will you have the personal fortitude to do what your research tells you to do? 

Most trading simulation is done looking back over the entire body of data.  Seldom is it done where one is blind to the future.  Although you may have fully back-tested your trading systems, will you be able to overcome the psychological stresses to actually pull the trigger when you are supposed to do so?  The FDC Walk Forward Trader answers that question.  When you are finally able to gain the confidence that comes from using the Walk Forward Trader, you are ready for the market. 

Walk Forward Trader Setup:

The Walk Forward Trader icon is just to the right of the Autoplay button.  When you click on it, you are presented with a palate that enables you to quickly set up the parameters for your trade.  It’s a 4-step process that is quite simple.

In Part 1 you should enter the expression that includes the data to be traded, and any additional information that you will be using to make the trading decision.  In this example we have asked for the S&P open, high, low and close along with an oscillator of the difference between the 3 and 10-day moving averages of the close of the S&P.

If you only want to look at the price, just enter the name of the dataset.  If you have a large amount of information that you want to include, construct a macro, and then simply enter the macro name in the edit line.  We will give you such an example below.

In Part 2 you can either accept the defaults or specify your own choices.  The first decision to make is where in the dataset you wish to start the trading process: at a date to be specified, or a number of dates after the beginning of the dataset.  Next decide how many dates to jump each time. 

The Trade Parameters have been set up as though you were trading stocks.  If you are trading futures, and wish to have final values in dollars, the dollar value of each unit must be changed from the default.  Note that the slippage parameter is “smart”, in that it will not let you buy at a price higher than the high for the day, nor sell lower than the low for the day. 

Part 3 enables you to plot your data as you want it displayed.  The dataset in the example would normally be viewed as a bar chart with an oscillator plotted in a separate panel.  However, you have complete control over this process.  Should you not be familiar with graphing, there are many tutorials and tours explaining that functionality.  Just remember that if the dataset you have specified in Part 1 is very complicated, you may want to define it in a macro, and even specify a pre-defined plottype in the macro.  Here’s an example of such a macro construction:

@ djlast150

a: (indu last 170) cols 1 2 3 4

b: 20 movave a

c: 3 movave ((hdiff b cols 4 3)- (hdiff b cols 2 4))

'bar4_w_osc' setplot (a common c)    

With the above macro having been created, all you need to enter in the edit line of Part 1 is “ djlast150 ”.

All that remains is to either begin trading or cancel.

Actual Use of the Walk Forward Trader:

If you have chosen the default parameters, you will initially only see the first 2 days.  If you change that to enable you to see the first 10 days before trading, here’s what you will see for djlast150:

If you have no market action to perform, then click , and you will get to see another day.  The entire chart (price and oscillator) will advance.  At some point you will decide that some market action is indicated and you may click .  You will then be

presented with a pop-up window as follows:

This enables you to specify the time and/or price of execution of your trade.  You must click on , or no trade will be executed.  The default (shown here) is to execute on the next day’s open.  The order will be effected as soon as you then click , moving you to the next day. 

Once you have executed a buy, you may then either  or .  To Exit means to sell out of your long position.  To Sell however, means to sell short.  If you are already long, selecting Sell will liquidate your long position and sell another position to go short.  Likewise, if you are already short you have the choice of simply exiting the short or reversing the position and going long.

If you are in a long position, the Buy icon will be grayed out.  Similarly, if you are short, the Sell icon will be grayed out.  If you have no position, the Exit icon will be gray. 

At any time you may obtain a quick check of your progress by clicking .  You will then be presented with:

You may make whatever decorations you wish to the charts.  For example, you may draw trendlines, or make parabolic (or higher order) fits of the data.  These may be extended into the future as you wish.  You may also paint or apply arrows, etc. to the charts. 

At some point, you will wish to stop trading.  In that case, click .  You will then

have a choice: 

If you choose the first option you will be presented with a complete trading summary, identical to that provided by the Trade Wizard.

Many traders deceive themselves by believing that they are profitable when they are not.  Others develop profitable trading systems and then waver when it comes to following those trading systems.  FDC’s Trade Wizard assists with the former, while the Walk Forward Trader corrects the latter.