Exclude weekend from walk forward optimization (NT7R2)

[hatori]

Altough I use a template which exclude saturday and sunday , the walk forward clearly include these days.
Is this a bug or am I missing something?

Thanks,
Hatori

[NinjaTrader_Jason]

Hello Hatori,

Unfortunately this is as expected because it is the only way to include full trading session as defined by the session template.

When using session templates that are 24 hrs with times cross multiple days, it is expected that tests in the Strategy Analyzer will include trades from the date before and the date after. This is because those dates are required to get the full trading session as defined by the session template.

Please be aware of the following limitation during walk forward tests. Each walk forward period may double count trades on “transition” dates. For example:

• First period is 1/29 to 2/25. Second period is 2/26 to 3/25.
• First period counts trades from 1/28 to 2/26.
• Second period counts trades from 2/25 to 3/26.
• There is an overlap of two days of 2/25 and 2/26 being double counted between each walk forward period.

[hatori]

The session template I use do not cross multiple days , so if I understand right ninja do no capable of exclude weekend no matter what ,altough I do not know why , it seems a very basic feature.

Hatori

[NinjaTrader_Jason]

What time zone is used for the session template and what time zone is used for your PC clock?

[hatori]

Both are in the same timezone GMT+1.
There are no overlapping days here which you described earlier but both, the optimization and the walkforward use the weekdays just like normal trading days.

[NinjaTrader_Jason]

I see. I performed an optimization on my end using the same session template you created. My PC clock is set to US Mountain time - I set the session template to Mountain time as well.

Subsequently I optimized the SampleMACrossOver strategy, however I did not see any trades that occurred during the weekend.

Can you please provide me a reproducible scenario that results in trades during the weekend.

Are you able to reproduce the issue using the SampleMACrossOver strategy?

[hatori]

Let's see this settings for example.
What are saturday and sunday doing in the optimization period?
The optimization period is 4 day , but this way it will be only 2 ,
the same problem exists at the walk forward part , the out of sample period (which would be 2 days) is sometimes 1 day (friday and saturday , or sunday and monday) and sometimes 0 day (saturday and sunday).

So my question is the same: Why ninja does not exclude the weekend days from the test. (from the optimization periods and from the walk forward/out of sample periods)?

[NinjaTrader_JoshP]

hatori,

Please provide exact session template definitions. Thank you.

[hatori]

Hello Josh,

My session template is in my first post (second picture) The time zone are GMT+1 both on my PC and in that session template.

Hatori

[NinjaTrader_Jason]

Unfortunately the dates will be listed in the Optimizer and Walk forward-tabs. However if you select a row that includes weekend days and you subsequently select the Trades-tab, you should not see any trades listed on a weekend date.

Can you please check if you see any trades as per a weekend date upon selecting the Trades-tab once you select a row in the Optimizer or Walk forward tab.

[hatori]

My point is that this ninja walk forward is not going by the book.

If I run a 4/2 walkforward for example , the optimization period will be 4,3 or 2 days , and the out of sample test days will be 2 , 1 or 0 day over time.

The end result will be some kind of strange pseudo value.

Regards,
Hatori

[NinjaTrader_Jason]

I see, I will forward your inquiry to development to exclude days in the Optimizer and Walk forward-tabs when such days are excluded from the session template that is used.