questions about: walk forward optimization

[uday12]

Hi

I had a few questions about Walk Forward Optimization (on NT7)

(1) When I click on the Walk Forward Optimization, there are multiple ways to specify the backtest periods: (i) TimeFrame section, (ii) Optimization section (Optimization days, Test Period days).

Suppose I have in the (i) TimeFrame section: "From" set as 2/7/2015 and the "To" set as 2/7/2016, and in the (ii) Optimization section: "Optimization days" set as 50 and the "Test Period days" set as 30. Does this mean, the actual optimization will only be carried over 50+30 = 80 days, or is it a total of (50-30)+30 = 50 days? Also, what is the specifications in the TimeFrame section used for (since we are already populating the days in the Optimization section)


(2) Also when I look at the results after Walk Forward optimization, the number of results shown in the "Optimizer" tab is greater than the "Walk Forward" tab? Why is this the case? Also, are the profits shown in the Walk Forward include that optimization's results during the first optimization period, or does it include the results from both the optimization + walk forward period?

[NinjaTrader_PatrickH]

Hello uday12,

Thank you for your patience.

1. The optimization runs are all ran within the From and To date. The Optimization Days are back to back runs. The Test Days runs are performed after each optimization run. Take a look at the results for each in the Strategy Analyzer, you will see their begin and end dates.

2. Each optimization and walk forward tab show their individual results. The walk forward results will be less as there are more optimization runs in the From and To period based on the Optimization Days.