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Walk forward: phantom deals from previous day

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    Walk forward: phantom deals from previous day

    Please, help!

    Developing strategies, I reached, finaly, to walk forward optimisation.

    I set:
    test period 1 day
    optimisation period 1 day

    WF optimisation brings me 2 strange things:
    1) every test day contains yerstaday's deals.
    2) on every test day chart, on first bar, all yerstaday's deals were drawn.

    I noticed, that reason is optimisation period. If to set another value (more than 1 day) everithing work grate.

    Qestions: is it possible to set up NT to get proper optimization results for optimisation period 1 day?
    Attached Files
    Last edited by fx.practic; 02-26-2010, 05:32 PM.
    fx.practic
    NinjaTrader Ecosystem Vendor - fx.practic

    #2
    fx.practic, which version are you using? I would believe this is supported - I'm seeing the same behavior on my end here - thanks for reporting, we'll check into matters.
    BertrandNinjaTrader Customer Service

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      #3
      NT 7.0.0.10. I realy wait for it - my super strategy is almost ready
      fx.practic
      NinjaTrader Ecosystem Vendor - fx.practic

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        #4
        Hello,

        If you don't have it already, you can get our beta version of NT7 by emailing sales at ninja trader com
        DenNinjaTrader Customer Service

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          #5
          I mean, this bag occurs on NT 7.0.0.10
          fx.practic
          NinjaTrader Ecosystem Vendor - fx.practic

          Comment


            #6
            Hello,

            Since you are asking about NT7, I will have someone reply to you on Monday. Thank you for your patience.
            DenNinjaTrader Customer Service

            Comment


              #7
              The same problem

              I'm using 7.0.1000.8 version of Ninja Trader.

              Then I set 1/1 periods to optimize/test
              it considers previous day.

              For example:

              I set 14.02.2012-14.02.2012 to optimize.
              Actually it optimizes on 13.02.2012-14.02.2012

              I set 15.02.2012-15.02.2012 to test.
              Actually it test on 14.02.2012-15.02.2012

              It is clear, that the results of WFO strongly erroneous.
              It is "looking forward" takes place.

              Please, explain how to solve it, or, if I can't, then it will be solved.

              Regards

              Comment


                #8
                makhmout, sorry for the non updates to the thread here previously, this 'bleeding over' from trades on prior days is actually currently an expected limitation - as the session template used would always be traded / processed in completion, it would not split the template in parts here.
                BertrandNinjaTrader Customer Service

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                  #9
                  Originally posted by NinjaTrader_Bertrand View Post
                  makhmout, sorry for the non updates to the thread here previously, this 'bleeding over' from trades on prior days is actually currently an expected limitation - as the session template used would always be traded / processed in completion, it would not split the template in parts here.
                  Thanks

                  May be it is reasonable to divide sessions manually in Session Manager?

                  Comment


                    #10
                    Yes, you could custom design a template for this task under Tools > Session Manager that would not reach back to the prior day, so your used sessions would not overlap.
                    BertrandNinjaTrader Customer Service

                    Comment


                      #11
                      thanks a lot!

                      Comment

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