Or more generally: What strategies do NJ optimization algorithms support to prevent overfitting of the parameters to the data used for optimization?
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split backtest data into optimization and validation set
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split backtest data into optimization and validation set
Is it possible to split the available backtest data, such that the first 80% are used for optimization and the remaining 20% for validation?
Or more generally: What strategies do NJ optimization algorithms support to prevent overfitting of the parameters to the data used for optimization?Tags: None
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Hello rafe0304,
Thank you for your post.
You can look into Walk Forward Optimizations to run a number of days (historical) in optimization and then run that set of parameters forward in a set number of test days. For more information please visit the following link: http://ninjatrader.com/support/helpG...e_a_strate.htm
There is no means to directly set what data will be used for optimizations and those for testing forward. You must do this through Strategy Analyzer using the End Date, Test Period, and Optimization Period.
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