• If this is your first visit, you will have to register before you can post. To view messages, please scroll below and select the forum that you would like to visits. Questions? Be sure to check out the Forum FAQ.

Announcement

Collapse
No announcement yet.

Partner 728x90

Collapse

Difference in results between optimizer and backtesting

Collapse
X
  • Filter
  • Time
  • Show
Clear All
new posts

    Difference in results between optimizer and backtesting

    Hello,
    I have been using Walk Forward optimization to test my automated strategy. I used 90 days as optimization period and 30 days as testing period.

    When I received the results I started checking them by actually doing the regular back testing (to check the accuracy of the results and also to understand them). And for a few of the periods listed under WF optimization results differed when I did the regular back test. I used the same parameters listed under WF optimization and also the same period for back testing. But the results differed when I conducted the regular back test. For example WF optimization will show profit of $X for period Y by using XYZ parameters, but when I actual conduct back test, it will show different amount of profit for the same time period Y using the same set of XYZ parameters.

    Can someone please guide me with what could be wrong?
    Appreciate your help in advance.

    #2
    Hello pandyav,

    Thank you for your post.

    Can you provide screenshots of the results and the parameters used for both tests?
    Patrick H.NinjaTrader Customer Service

    Comment


      #3
      Sure, so when I look at the WF results for 6/9/2013 to 7/8/2013(image - WF Results), Net Profit is 1019 but when I run the back test for the same period using the same parameters (image - Back Testing Parameters) it shows the Net Profit of 919 (image - back test results).

      Any idea what could be wrong?
      Appreciate your help in advance.
      Attached Files

      Comment


        #4
        Hello pandyav,

        Thank you for your response.

        For the backtest, set the From Date one day back and run the test again. Do the results match now?
        Patrick H.NinjaTrader Customer Service

        Comment

        Latest Posts

        Collapse

        Topics Statistics Last Post
        Started by NinjaCustomer, Today, 12:14 AM
        1 response
        5 views
        0 likes
        Last Post NinjaTrader_Marco  
        Started by U0000999, Yesterday, 11:49 PM
        0 responses
        4 views
        0 likes
        Last Post U0000999  
        Started by ahadari28, Yesterday, 04:01 PM
        0 responses
        6 views
        0 likes
        Last Post ahadari28  
        Started by TazoTodua, Yesterday, 06:00 AM
        2 responses
        20 views
        0 likes
        Last Post TazoTodua  
        Started by TazoTodua, Yesterday, 09:06 AM
        1 response
        12 views
        0 likes
        Last Post NinjaTrader_ChelseaB  
        Working...
        X