Why doesn’t MultiWalk’s equity curve match TradeStation’s chart?
There are several reasons that your MultiWalk equity curve is not matching the equity curve that you see in TradeStation when you apply the walkforward strategy to a chart.
Please review the following list to determine which mis-match reason applies to your situation and steps that you can take to resolve it.
TradeStation Chart Settings
The settings used to create the walkforward in MultiWalk must match the same settings used on the TradeStation chart. See Applying the walkforward strategy to a TradeStation chart
TradeStation Series Functions
Some TradeStation functions (such as RSI, XAverage, MACD, etc) are not compatible with walkforward strategies. See Using Walkforward Safe Series Functions
TradeStation “Fast Calculation” (FC) Functions
Do not use TradeStation’s FC functions. Use WFSafe FC counterparts instead. See TradeStation “Fast Calculation” (FC) functions
TradeStation has various bugs that may never be resolved.
SetStopLoss and SetProfitTarget and bugs: I reported one in 2015 and Kevin reported one in 2018. As of Dec 2023, both have not been fixed, regardless of numerous user requests. If your strategy uses SetStopLoss and SetProfitTarget, then your equity differences you are seeing may be due to these bugs. See this article for a workaround solution and see if this fixes the issue.
Data2 bug: See this article for more information on a bug that may effect various strategies that use data2.
Do not use SetExitOnClose. See this article for an explanation and workaround solution.
MultiWalk uses a built-in fast approach to calculating the walkforward strategy. This avoids needing to re-optimize every walkforward in-period, which is compounded because of MultiWalk’s unique ability to test across many instruments and time bar intervals. However, it also means that the equity results will not exactly match TradeStation. For a more in-depth explanation, please see The Walkforward Methodology and MultiWalk’s Built-In Fast Walkforward Emulation Engine