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Cumulative Out-of-sample Results in Walkforward?

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    Cumulative Out-of-sample Results in Walkforward?

    This may exist, but for some reason I cannot find it, and nothing is mentioned in the documentation:

    I understand the idea of the walkforward optimization. Suppose I have 465 days of data. I optimize on 100 days, and run the walkforward on the next 10 days. I understand how to setup NT to do this. Suppose I run this setup for 365 days. Because I have 465 days of data, I should be able to get one year of 100% walk forward out of sample performance results.

    Now, how can I plot the cumulative return over time, of this years worth of out of sample data? NT is happy to plot and give statistics for each of the 10 day windows. But, I want the 10 day windows lumped together - as if I had periodically optimized my syrategy every 10 days.

    Can NT do this? Am I missing something? The Walkforward tab seems to only give stats for each small window, not the lumped stats.

    Thanks!

    #2
    Serac, this cumulative WFO statistic would currently unfortunately not be offered, but I will gladly forward it as enhancement suggestion to produce management.
    BertrandNinjaTrader Customer Service

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      #3
      Hi,

      When will this cumulative WFO statistic be available?

      Comment


        #4
        Hi millridge,

        We unfortunately do not have a date or planned commitment available, but I'm happy to add your vote to the request.
        Ryan M.NinjaTrader Customer Service

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          #5
          Thanks for the provided feedback, we have filed enhancing the WFO reporting aspects under #1587 in our product enhancement tracking lists - we appreciate the input to further improve our NinjaTrader platform.
          BertrandNinjaTrader Customer Service

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            #6
            Thanks, Bertrand. Glad to see this on management's list.

            Is there any way this list could be made public?

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              #7
              Hello,

              Unfortunately this list is not made public, we do this for various internal reasons.

              -Brett
              BrettNinjaTrader Product Management

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