Walk Forward Test Results

[millridge]

Hi,

Regarding WF test results on "Instruments" tab, I always see the Sharpe Ratio equals 1. Is anything wrong in NT calculation. I also suspect the Max Drawdown is not correct either.

[NinjaTrader_Bertrand]

millridge, that could be the case since in the event that there is only 1 month of trade history or less, there is insufficient data to calculate the monthly standard deviation of profits in which event, the Sharpe Ratio is set to a value of 1

[millridge]

Bertrand,

This is not the case for me, I have more than one years trading history.

[NinjaTrader_Bertrand]

What are your WalkForward segments then? How many days would those span?

[millridge]

WF test period is less than one month. Does it matter for overall Sharpe calculation?

[NinjaTrader_Bertrand]

WF test period is less than one month. Does it matter for overall Sharpe calculation?

Yes, it would - each segment is computed separately.

[millridge]

Then, assume I have ten periods sharpe ratio: SR1, SR2, ...., SR10. Could you let me know how WF Sharpe is calculated?

[NinjaTrader_Bertrand]

No, in this tab you would see only one summation of results, so if each individual WFO did not have enough data to calculate the sharpe, then you would see in the summation as well, as it's from the individual segments tested you see under the WFO tab.

[millridge]

What I am asking is if my WF test period is more than one month and have individual Sharpe (SR1,SR2,...SR10), how overall WF test Sharpe is calculated? I don't understand how those two are related.

[NinjaTrader_Bertrand]

Thanks millridge for the clarification - looking into matters and will get back to you on it.