During my walk forward optimizations on an fx currency pair I was seeing trades from the end of optimization period bleeding into the beginning testing period, which was skewing the results. Sometimes the day following the test period also bled in, resulting in 1-2 extra days per walk forward test period.
Since extra days and seen & optimized-for trades were showing up in the unseen test portion of the Walk Forward test, it made the algorithm look way more profitable than it otherwise would be. This is more pronounced the smaller your window sizes are.
I included some screenshots of the results I was getting. These were for 1 day optimization / 1 day test periods and you can see extra trades bleeding in.
Update: Found a solution thanks to NinjaTrader_Brett. Turns out your time zone plays a role in causing/fixing this one.
He advised me to copy the 'Default 24/7' session template and set it to my timezone (Pacific). Previously I was using the default Forex session template set to Eastern Standard time, which is the same time zone as the historical Fx data I test against. Then in the Walk forward settings you override the session template to use this Modified 24/7.
Probably a good thing to check in your own Walk Forward results if you're like me and your time zone isn't EST.
After using this PST 24/7 template I only see trades in the test period from the test day(s) as expected. Thanks Brett!
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