Kevin Davey’s 2023 Back To School Series

MultiWalk Algo Building Blocks Project

Included with this document are MultiWalk Algo Building Blocks projects that combines all entries and exits discussed in the video series. The project replicates Kevin’s testing dates (2018 – 2022), entries and exits. However, I adjusted the begin date to 2017 in order to accommodate a MaxBarsBack value of 250 trading days (about 1 year of daily bars).

Important note: Some Lookback bar length periods (BarLengthMid and BarLengthLong) are used for both entries and exits. In order to reduce number of iterations, a distinction was not made between entry lookback periods and exit lookback periods.

A Starting Point

Use this algo building block project as a starting point to identify possible market and entry/exit combinations. Once a market, time frame (bar interval), entry and exit combination is identified that looks good, create a new MultiWalk project using that entry and exit combination. Adjust the time period to start at 2007. Adjust the input optimized variables by customizing their ranges for the new project. For example, since both entry and exit were using the same bar length in the building block project, use different bar lengths for the entry and exit in your specific, customized project. Or modify this Building Blocks project to do that!

Four Projects, One Algo Building Blocks Strategy

Creating multiple building block projects using the same strategy is an efficient way to construct different entry and exit combinations. You can certainly create just one project, but many of the optimized iterations for that entry/exit would simply create duplicate results since they are uselessly calculating a variable that is not used in the strategy logic. This will greatly add to processing time. So with a little judicious planning, you can create efficient and targeted projects that match entries and exits to their optimized input variables.

There are four Building Block projects. They all use the same strategy. The only difference are the entries, exits, and input variables used in each one. You can open all four projects and run them at the same time! If a variable is not used for the entries and exits selected, it still must be included in the project. Simply leave the range value for it blank.

Algo Building Block Projects

Symbols

The symbols used in these projects are a combination of all the top performers from Kevin’s analysis results. These results are discussed in his videos and included in the ENTRY and EXITS slides section of this document. As further experimentation, it would be good to include more symbols not found in these projects!

Fixed and Optimized Parameters

The following optimized parameter ranges were used in the project. But experiment! There is nothing sacred about the parameter ranges chosen other than they seemed like a good starting point. In other words, these ranges did not come from Kevin, but he “signed-off” on the ones chosen below.

There are two types of parameters – fixed and optimized. Fixed parameters are used to control what entries and exits are used for a complete test project. A complete test project would include all symbols, time frames/bar intervals, fitness functions, etc. for each particular entry and exit. Optimized parameters are used in each test project to optimize the strategy.

If a parameter is not used in a particular project, it is left blank. This makes MultiWalk assign it a value of “1” and it will not iterate over it. Since it will not be used in the project, a value of “1” is fine.