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I made a physical response but my character continue to walk through the walls.

Check that you have done it like that:

Player
-> Collision
- Any side
- Wall
- Repeat: yes
-> Physical Response
- Move Event Actor Only
- Use Calculated
- Event multiplier: 1
- Collide multiplier: 1
- Event Actor 0
- Collide Actor 1
-> Add
-> Immediate action

Same as a photo:



That works.
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