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Periods used for Walk Forward Testing

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    Periods used for Walk Forward Testing

    Do I understand what periods the Walk Forward is using:
    If I select:
    Optimization period : 20
    Test Period: 10
    The the optimizer will use the first 20 days to optimize then test on the next 10.
    It will then move forward 30 days(Optimize +Test) to the next period and again use the first 20 days in this period to optimize.

    My Strategy uses 40 bar requirement to start. This uses a significant amount of the new test space on each walk forward.

    If what I understand is correct it would be helpful if the walk forward only advanced for the length of the test period (10 days in my example) rather than 30 days.
    You would then be optimizing on an overlap of the old test period and the 10 days of out of sample. I think this would give you a much better understanding of how the indicator will work on the underlying data.

    This would be more inline with what most people do in real time.

    #2
    >> It will then move forward 30 days(Optimize +Test) to the next period and again use the first 20 days in this period to optimize.
    Incorrect. It will roll by the testing period (10 days).
    DierkNinjaTrader Customer Service

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      #3
      Thanks Dierk. I understand now.
      What was confusing me is that the lookback period (40 bars in my case) for the Out of sample data is taken from the start of the out of sample period rather than from the last of the test sample data. This is how I would do it in real time.

      I have another question.

      Ran an Walk Forward on a period from 10/08/2007 to 11/23/2007. The Walk Forward panel has exclude weekend = true.

      The walk forward results show the dates:
      10/28/2007 - 11/06/2007
      11/07/2007 - 11/16/2007
      11/17/2007 - 11/23/2007

      Looks like the test period of 10 days includes the weekend count in the increment but not in the chart or computations.

      Comment


        #4
        >> Looks like the test period of 10 days includes the weekend count in the increment
        Correct
        DierkNinjaTrader Customer Service

        Comment

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