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Difference between Walk Forward and Optimize.

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    Difference between Walk Forward and Optimize.

    Hi,

    Can someone please explain to me the diffrence between Walk Forward and Optimize?

    I read the help file, and still couln't make it out properly.

    #2
    Hello,

    Thank you for your forum post.

    The difference it does the same as an optimize to find optmized input parameters. However instead of the resulsts being shown from the best optimized run on historical data that it tested on it then tests the optmized parameters on unknown data in the future that it did not optmize on to see what the results will look like. This page has a little different explination I belive for NinjaTrader 7 please check this page out for more information as well. It is a way to further attempt to verify your input parameters for your strategy.

    http://www.ninjatrader.com/support/h...e_a_strate.htm

    Let me know if you still have questions.
    BrettNinjaTrader Product Management

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      #3
      I found an excellent blog which describes how Walk Forward Testing works.

      http://www.automated-trading-system....rward-testing/

      It wasn't until I read this blog that I began to understand the process. The graphic is worth a thousand words. Give it a look and see if that helps.

      In the NT documentation, the 1st parameter is the optimization period over which the strategy parameters are optimized. The 2nd parameter is the period over which the optimized parameters are evaluated.

      Hope that helps.
      Last edited by dewsamurai; 07-28-2010, 06:30 PM.

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        #4
        Many thanks dewsamurai, yes it definetely helped me understand better what it's all about.

        Comment


          #5
          Hello,

          i have one issue with walk forward optimization. I set my parametres, but i cannot see result in optimizer. Can u help me ? But i can see results in window Instruments.
          Attached Files

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            #6
            fLife, do you get results if you set to use longer optimization and testing windows? Likely your script has too less data to trigger trades in this setup now.
            BertrandNinjaTrader Customer Service

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              #7
              I can see only one result, which is best one, i guess, in this window, so i did some trades, but i can not find out which one adjustment is the best. thanks for reply
              Attached Files

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                #8
                Correct, under the instruments tab that would be expected - you get the summed up performance of the individual walk forward segments. So there would be nothing to pick for you, it's just feedback how well your re optimization strategy would do over time.
                BertrandNinjaTrader Customer Service

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