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Walk Forward Testing - full stats

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    Walk Forward Testing - full stats

    Hi NT,

    NT8 presents great enhancements & features, however - I believe one is missing, and that would be a very nice differenciator to competition: Walk-Forward-Statistics.

    By Default, in WFT, there is just one summary line describing aggregate stats for the Walk Forward Testing.

    And the Display has only "Summary" as an option (other than the P&L presented in $, %, ticks, etc).

    I think the WFT should present also the cumulative P&L, Executions, Trades & Monte Carlo. This will greatly improve the usefulness of WFT in NT8.

    Thanks

    #2
    Hello andrei.reiand,

    Thank you for your inquiry.

    Have you selected the result with the optimized parameters at the top section of the screen? Once you have done this, you will be able to select the other statistics you have mentioned.

    I have provided a screenshot highlighting the selection.

    Please, let us know if we may be of further assistance.
    Attached Files
    Zachary G.NinjaTrader Customer Service

    Comment


      #3
      Originally posted by NinjaTrader_ZacharyG View Post
      Hello andrei.reiand,

      Thank you for your inquiry.

      Have you selected the result with the optimized parameters at the top section of the screen? Once you have done this, you will be able to select the other statistics you have mentioned.

      I have provided a screenshot highlighting the selection.

      Please, let us know if we may be of further assistance.
      Hi Zachary,

      Well, I'm not interested in the statistics for each and every optimized time-frame, but rather for the hole time-window - which should be given by the top line that's missing Parameters column value (as in the attached).

      That's the real WFT statistics representing aggregate performance for the full time-window. Wouldn't you agree that would be the end result of executing a Walk Forward Testing setup ?
      Component time-windows would be equally good to have, but a Walk Forward Testing is ultimately done to get performance across the full time-line under test.

      It would be nice to do Monte Carlo on that and to see all the trades on the chart.

      Thanks
      Attached Files

      Comment


        #4
        Hello andrei.reiand,

        Unfortunately, I am unable to see the screenshot that you have provided in your post.

        Are you speaking of a Walk Forward Optimization over an entire instrument list and wanting to see other statistics based on the combined results, rather than the results of just one instrument?
        Zachary G.NinjaTrader Customer Service

        Comment


          #5
          Originally posted by NinjaTrader_ZacharyG View Post
          Hello andrei.reiand,

          Unfortunately, I am unable to see the screenshot that you have provided in your post.

          Are you speaking of a Walk Forward Optimization over an entire instrument list and wanting to see other statistics based on the combined results, rather than the results of just one instrument?
          Hi,

          I attached it again. No, I'm speaking of WalkForward Optimization over one only instrument. It's exactly as in your attachment picture, only that you need to refer to the top-most row, instead of the second top-most row.

          It's simple:

          1) One instrument
          2) Take last 5 years and split them in time-windows of 1 year = 5 x 1 year
          3) Execute Walk Forward on these time-window => you'll get 5 Optimizations (lines) in your Walk Forward Test.
          4) However, you don't need the 5 component optimizations, but the aggregate performance & statistics of the full 5 years, which is given by the TOP MOST row in a Walk Forward Test.

          Thanks
          Attached Files

          Comment


            #6
            Hello andrei.reiand,

            Thank you for the additional clarification.

            I have submitted this as a feature request. We highly value customer feedback in order to improve our product!

            Please, let us know if we may be of further assistance.
            Zachary G.NinjaTrader Customer Service

            Comment


              #7
              I'd like to request this feature too. It's hard to judge the cumulative effectiveness of a WFO with only a single line of statistics.

              Comment


                #8
                Hello mrengleman,

                Thank you for writing in.

                I have added a vote to this feature request. SFT-632

                Please, let us know if we may be of further assistance.
                Zachary G.NinjaTrader Customer Service

                Comment

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