Walk foward instruments tab

[fercho]

Hi,

I've done a WF to my strategy. I´ve noticed that on "The Instruments Tab" are the overall results and the Max Drawdown here is 0,50% but on the WF Tab the max displayed is 1,23%. Wich is the relevant result?

thanks in advance

[NinjaTrader_Jason]

Hello fercho,

The Walk forward-tab will display the test periods that occurred after the optimization period. The Instruments-tab displays the accumulation of these tests periods.

[fercho]

Thanks I understand how it works, but for example, in the Instruments tab the draw down is 0,50%.
On the Walk Forward tab the max draw down on the tested periods is 1,23%. Why the instrument tab displays 0,50% ?

Thanks in advance.

[NinjaTrader_RyanM1]

Hi Fercho,

What you will see on the Instruments tab is a trade-weighted average of all the tests that are on the walk forward tab.

[millridge]

Hi,

How does this trade-weighted average work? Can you show an example?

[NinjaTrader_RyanM1]

Hi millridge,

I don't have an example but you can run backtests on your end to get some. Trade weighted average means that the average takes into account the number of trades made by each instrument. If you have one instrument that makes 1000 trades and another that makes 1, you wouldn't want each instruments values to be weighted equally. Instead the 1000 trade instrument would contribute the most to the value, and the 1 trade instrument very little.

[millridge]

I have only one instrument for WF optimization and want to know the exact math of "trade weighted average" in order to understand the numbers on "Instrument" tab.

[NinjaTrader_RyanM1]

Here's a link that may help with weighted averages:

http://en.wikipedia.org/wiki/Weighted_mean

[millridge]

I verify the "trade weighted number", but the number (on Instruments tab) is not useful at all, it can't compute sharp ratio and max draw down is meaningless. NT really needs to add feature of showing the statistics of WF optimization like those on normal backtest.