Show in-sample and out-of-sample performance in Walk Forward

[kbellare]

How do i compare side-by-side in-sample and out--of-sample performance side-by-side?

I'm running walk-forward on a set of 20 futures instruments - goal is to pick only those symbols that show consistent performance between in-sample and out-of-sample in real trading.

[NinjaTrader_PatrickH]

Hello kbellare,

Thank you for your post.

To compare side by side you can save the results of your test by left clicking the save button on the Strategy analyzer after running the test (the floppy disc icon on the top left hand corner of the Strategy Analyzer). Then open another Strategy Analyzer (File > New > Strategy Analyzer) and select the Load backtest results option (top left hand corner of Strategy Analyzer, looks like a folder with an arrow on it) and load the saved backtest results.

This will allow you to compare the results of Walk Forward and Optimization side by side.

Please let me know if I may be of further assistance.

[kbellare]

That wont work because the Optimizer and Backtest tabs don't show the Optimization results for each in-sample window. For example, if the Walk-forward is run for 6 months with 2-month in-sample period and 1-month out-of-sample, there are 4 out-of-sample periods (last 4 months) reported with it's respective out-of-sample perdormance, profit factor, win probability etc.

-> I would like to compare the in-sample performance for those 4 out-of-sample windows ..
e.g. M1, M2 )optimized in-sample performance) compared with M3 (out-of-sample)
M2, M3 compared with M4
M3, M4 compared with M5
M4, M5 (insample optimized) compared with M6

How do i get these optimized in-sample performance results quickly?

thanks
Kiran

[NinjaTrader_PatrickH]

Hello Kiran,

Thank you for your response.

Can you provide screenshots of the backtest results, out of sample results, and in sample results in your response after running a Walk Forward Optimization?

I look forward to your response.

[kbellare]

Any update on this feature? Is there a way to see the WFO Test results for each time-slice that it's tested over, so i can compare it side-by-side with Optimization results for each corresponding time-slice.

If not, how do i see the time-graph of the overall test results, so i can visually look at performance over each time-slice? I don't see a Time-graph in the overall test results of WFO.

[NinjaTrader_PatrickH]

Hello kbellare,

There is no update to these items. There would not be an option to view the graph of the overall results.