About WF Optimzation and Custom Defined Metrics

[andreneoh]

There seems to be a bug which I cannot catch, not sure if anyone else encountered it too.

Assume a default optimization (lookback / in-sample) period of 28 days and a test period (lookforward / out-sample) of 1 day. The results do NOT show trades on a walk-forward day-by-day basis, rather it is a aggregate of trades before, during and after that walk-forward date itself.

Also, is there a way to optimize based on other than the standard metrics in the drop box? Or even, a combination of more than 1 standard or custom defined metric?

[NinjaTrader_Jason]

Hello andreneoh,

Unfortunately I am not sure if I follow. Can you please tell me what specific results you refer.

When performing such a walk forward test, the Walk forward-tab will display the trades that would have been made on the lookforward day. Since you use a value of 1, it will only reflect trades for one day after the the optimization period - this is as expected.

Unfortunately it is not supported to optimize strategies on different parameters than the ones that are reflected in the Optimize window.

[andreneoh]

I can't seem to get it working like that, is it a setting that I'm missing?

Using the previous example, I'm optimizing for the date of 26Apr, using 28 days that ends on Apr 25. The walk forward result includes trades for 26, 27 AND 28 Apr. Now this is not consistent because some results do only show 1 forward day's worth of results.

[NinjaTrader_JoshP]

andreneoh,

What version of NT are you using? What instrument are you backtesting and on what kind of time frame? Minutes, daily, etc.? Thanks for the clarification.

[andreneoh]

I'm using NT7 beta 15. Testing on a multi-timeframe (5min / 1min). This problem occurs on ES, GC for me.

[NinjaTrader_Jason]

Hello andreneoh,

Can you please upgrade to NinjaTrader 7.0.0.18 as per the instructions below.

http://www.ninjatrader.com/support/helpGuides/nt7/release_notes.htm

Critical Information for users upgrading from Beta 15 or earlier. Please ignore if you are upgrading from Beta 16 or later.

Installation Instructions
Video

Please execute the following steps BEFORE upgrading to this new beta version:

1. Start your current NinjaTrader 7 version
2. Within the Control Center window select File > Utilities > Remove NinjaScript Assemblies and remove every single assembly listed
3. Uninstall NinjaTrader 7 via Windows Control Panel
4. Delete the files of the folder /Documents/NinjaTrader 7/bin/Custom (DO NOT delete the sub folders)
5. Delete the folder C:\Program Files\NinjaTrader 7 if you have a 32-bit machine OR
Delete the folder C:\Program Files (x86)\NinjaTrader 7 if you have a 64-bit machine

Please note that any previously installed 3rd party components will NO LONGER be installed.


Check if the issue persists. If so, can you please walkforward test the SampleMACrossover strategy using 1 Walk forward day and check if the Walkfoward-tab only reflects trades for the 1 walkforward day only.