WalkForward results

[igalml]

Hi,
I'm running Walk Forward optimization over a period of 1 month with Optimization Period of 5 days and Test Period of 1 day.
When i get the results in the Walk Forward or Instrument tab i see in the trades the optimization trades that aren't supposed to be there and then all the results of the walk forward are wrong.
But, when i increasing the Optimization Period to 15 and Test Period to 5 the results are good.
Why ninja cant handle walk forward optimization of small test period??

Igal

[NinjaTrader_PatrickH]

Hello Igal,

Thank you for your post.

I am not familiar with what you are describing here with the results, can you perhaps provide an example of this and possibly screenshots of the result tabs?

I look forward to your response.

[igalml]

Hi,
I have attached two captures.
Capture 1 : u can see the optimizer result of the Walk Forward in the right side above u can see a description of the capture.
Capture 2 : u can see the Walk Forward result.

The trades in capture 1 are from 1/3/2011 till 1/6/2011.
The trades in capture 2 are from 1/5/2011 till 1/7/2011.

How can it be that when i'm running only 1 day test period i have results from the training period??

Igal

[igalml]

PatrickH?
Do u have any answer?


Igal

[NinjaTrader_PatrickH]

Hello Igal,

Thank you for your response.

Yes this can be seen with Session Templates that cover more than one calendar day. For example the CME FX Futures ETH session spans from the previous day at 5 PM to 4 PM the current day. So it is possible to see trades across the two days in that session. However, in your example and my tests the results are for three days, this is clearly an issue with how the Test Period is handling the single day technically being a session over multiple days.

If you change the Session Template to the RTH session (which in general is on the same day depending on your time zone) you will notice that the trades are all within the same day.

[igalml]

Hi PatrickH,

I chose the Default 24/5 / Default 24/7 session template and i'm still getting trades in the walk forward from the last day of the optimizer.

Igal

[NinjaTrader_PatrickH]

Hello Igal,

Have you tested the RTH Session Template?

The Default 24/7 and 24/5 Session Templates may span across multiple days for you. What time zone is your PC set to?

[igalml]

the RTH isnt good for me because he starts from 7:20 AM and end in 14:00 PM .
I'm using the (UTC-05:00) Eastern Time (US & Canada)

Igal

[NinjaTrader_PatrickH]

Hello Igal,

When opening charts or running backtests on dates, it is possible to have "bleeding" sessions included in the test. These "bled" sessions could include the prior and next sessions than the one defined by the dates requested depending on the use of 24 hour session templates such as the Default 24/7 and 24/5.

If you request a single day, since the session template spans across midnight like that, it will include the prior session in your request so you get a chart of 2 days. If your request was on Monday though you may still get a single session chart because the bled session it would be looking for would be Sunday's and that may not have any data so only 1 date would end up showing on the chart in that circumstance.

You can develop your Session Template to stay within one day and not a 24 hour session. For information on creating Session Templates please visit the following link: http://www.ninjatrader.com/support/h...on_manager.htm

[igalml]

Hello PatrickH,
Ty but I know how to use the session manger and i'm aware about the "bleeding" sessions what i am trying to say is the u have a big bug in the system when u running the walk forward optimizer.
The optimizer need to separate the training days and the testing days and not to add the training trades to the testing and give u a good filling about your strategy.
When i'm writing the strategy i want to use the wright session template that belong to the instrument that i want to trade,for example 6E = CME FX Futures ETH, i dont need to build a new session because the walk forward optimizer isnt good.
I hope u got me in this problem,

Igal

[NinjaTrader_PatrickH]

Hello Igal,

Thank you for your response.

That is correct, I have submitted this as a bug report. Thank you for your time on this item.

[Karl Armstrong]

The walk forward optimization is broken in NinjaTrader. Such solutions as using RTH is lame. I would not trust any results from WFO. It is something that is broken and should be fixed or end the pretense and remove it from NinjaTrader..

[NinjaTrader_PatrickH]

Hello Karl Armstrong,

Thank you for your post and welcome to the NinjaTrader Support Forum!

We look to make improvements in the next major release of NinjaTrader. Thank you for your insight on this item and please let me know if you have any questions.