When The Tool Doesn’t ExisT…
MultiWalk was born out of necessity for my own algorithmic developement and trading. In 2015 I took Kevin Davey’s Strategy Factory Workshop. Kevin dramatically changed the way that I thought about and approached algorithmic development. I found there were aspects to algo development and his process that I wanted to explore and automate. I had a vision, but found that other trading tools did not encompass the vision of what I wanted. I have a professional background in software applications development and management. So I did what I do best in these situations. When the tool does not exist… build it! In 2017 a fledgling MultiOpt was born. In 2023 I completed a redesign and rewrite that became MultiWalk.
Algorithmic data analysis — Taking the walkforward process to the next level.
MultiWalk uses the walkforward process as taught by Kevin in his Strategy Factory Workshop. From a data science perspective, the walkforward process made sense to me. It is essentially a modeling-simulation process to evaluate trading systems. But I quickly found that it could be extended in ways that truly embraced its mathematical underpinnings to keep our trading algorithms freshly tuned with the current market dynamics they model. MultiWalk has been evolving as my own trading and algorithmic development process evolves, and continues to do so to this day.
Since I have automated some of Kevin’s methods, MultiWalk is currently only available to those who have taken his Strategy Factory Workshop. This is an exclusive bonus and benefit to Kevin’s students. I am pleased to be able to provide this work to the Strategy Factory Community. Read more about this important requirement here.
MultiWalk Pro includes all MultiWalk features plus many more for advanced algo development and strategy management. It is a leap beyond the already poweful capabilities found in MultiWalk.
Perform Optimizations and Walkforward Analysis
Using MultiWalk’s powerful backtest engine, perform optimizations and walkforward analysis across many different in-sample and out-sample period combinations.
Apply Strategy To Many Symbols and Bar Intervals
Take any strategy and apply it to multiple futures or stock symbols and bar intervals, up to four data streams!
Many Fitness Functions
Apply over 40 different analysis metrics and fitness functions to your project — at the same time! Easily and quickly identify trends and patterns across a variety of fitness functions using MultiWalk’s comprehensive reporting system.
In-Sample and out-of-sample (unseen data) testing
Define an in-sample and out-of-sample (Kevin Davey calls this Incubation) period. Run “blind” projects that hides the out-of-sample period until you are ready to simulate real-world trading for your project. This helps avoid self-deception by hiding your out-of-sample period until you are ready to simulate your incubation period.
Monte Carlo Analysis
Monte Carlo analysis is applied to every symbol/bar interval and walkforward entry in your project. It simulates thousands of random possible equity outcomes using the actual trade results of each walkforward entry and presents one simple-to-understand metric: profit return to risk drawdown.
Kevin Davey's Limited Feasibility Study
This module automates Kevin Davey’s Limited Feasibility Study. With this module, you will be able to use his method of testing a strategy on a small piece of data, but apply that to a broad range of symbols and bar intervals using MultiWalk’s multi-symbol/multi-bar interval capabilities.
Multi-Core/Multi-Threaded for speed
Both optimization and walkforward processes take advantage of today’s modern CPUs by running backtest simulations concurrently in multiple CPU threads. This dramatically decreases project run times. If you want to run multiple MultiWalk projects concurrently, you can also divvy up and allocate a specific number of threads per project.
Stop and Resume Project
Some projects can take hours to run and sometimes you want to manually stop the project to review results so far, or sometimes the project may give an error (such as strategy error or lack of data) and stop the project automatically. At times like these you don’t want to have to restart the project from the beginning, but rather resume where the project left off. The ‘Resume’ feature in MultiWalk allows you to do just that!
Generate easylanguage code
Quickly and easily generte walkforward EasyLanguage code for your strategy that can be applied to any TradeStation chart for trading.
Clear and Easy-To-Follow Workflow
There are many configuration settings in MultiWalk, so managing that complexity and providing an easy and understandable workflow when creating a project is important. Just work through each tab for your strategy to set up a project.
Comprehensive reports for all walkforward analysis metrics, trades, equity data and more!
Automatic Recovery System
There are times that TradeStation becomes unresponsive during optimizations or would lose connection to the server and go offline. This meant that the project had to be stopped and restarted. MultiWalk now has an automatic recovery system that will detect when TradeStation is unresponsive or offline and automatically resubmit the current task to be completed later and then resume the project. This saves a great deal of time rather than finding that a project stopped at 1 a.m. in the morning and sat idle all night.
3rd Party Custom Symbol Support
MultiWalk fully supports 3rd party custom symbols, such as “@FGBX=108XC” or even “@LT2=108XC-122min”.
MultiWalk Pro Features
Algo Building Blocks
The Algo Building Blocks module gives you the ability to make any strategy input parameter a fixed, rather than optimized parameter. This means that you can create strategies with switch statements to select entry, exit, or filters of your own design. Using different combinations of code fragment building blocks can yield surprising results, especially when leveraged with MultiWalk’s abilty to test across massive number of symbols and bar intervals. Being able to fix parameters has other uses, also, such discovering which stop loss levels are appropriate for any given symbol and bar interval rather than trying to optimize a stop loss that may or may not be appropriate for the symbols and bar intervals in your MultiWalk project.
See the Algo Building Blocks Guide for more information.
MultiWalk Trader Strategy Management
MultiWalk Trader is an advanced algo development and strategy management tool. It is primarily meant for the trader who already has algos developed and needs to manage them as a collective portfolio. However, it can also be used to queue up several MultiWalk “discovery” projects by executing them sequentially, one after the other. By collecting all your strategies together in one place as a “batch”, you can apply the full power of MultiWalk on each project and collect the results in one, unified reporting system.
Queue multiple MultiWalk projects
Run many MultiWalk projects back-to-back. This is helpful if you have several projects and want to maximize their run time. When one project completes, the next will immediately start.