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Walk forward optimization

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  • NinjaTrader_JoshG
    replied
    The Session template should stop that if it is controlling the optimisation period.
    Correct. The session template can prevent the strategy from trading

    can you pick your optimisation period days with the sessions template?
    Your strategy will only trade inside the hours you set in your session template. You can create a session template that limits trading during any hours and on any days that you would like. If you do not want to trade on a Sunday or Monday, then set that in your session template. There will only be results to calculate when a strategy trades so if it is outside of session hours I would not expect anything to be included in the calculation

    Leave a comment:


  • fredfred
    replied
    AS I see it the WFO is a guide and can't have any degree of accuracy, but having said that I see the Saturday in the date range of the test period would lead me to assume that the blank trading day may have been calculated or averaged in the optimisation period.
    The Session template should stop that if it is controlling the optimisation period.

    Some degree of testing with SampleMACrossOver strategy as you suggested may offer an answer if tested over weekends against against working weeks mon to Frii perhaps, but then you cannot pick your days of the optimisation period. Maybe that would be a suggestion ?
    The question here really is can you pick your optimisation period days with the sessions template? say you didn't want to trade Sunday/Mondays and optimise Tuesday - Friday but then your results would have to show the same day range?

    Leave a comment:


  • NinjaTrader_JoshG
    replied
    Unfortunately I do not have any information on the algorithm used for WFO other than help guide link I provided. The date range is simply that, I cannot break it down further. The session template limits the trading hours. If a trade does not occur how can you get any sort of calculation from that?

    How else do you propose that this information is displayed?

    Leave a comment:


  • fredfred
    replied
    I would not expect to see a trade made out of hours as the market was shut on a Saturday, and I didn't think that Saturday would be included in the date range of the test period ?
    I followed your link to the walk through information but I am not understanding the sample and test periods over the Market open and shut times ?

    I am assuming that when the optimisation period is set say to 14 days and the walk through would optimise that period less the period set in the trading hours template. The template would have Saturdays at least set to out of hours and the optimisation would not take that Saturday day into the calculation ?

    Then I am assuming that the test period say to 5 days would reflect the optimisation period and not take a Saturday into the result. That could be the case, but in seeing the Saturday day into the date range in the results wasn't what I expected. I expected to see the Optimisation and the test period to ignore Saturdays as set in the trading hours template ?

    I would understand that there were no trades on a Saturday, but having the date range of the test period include a Saturday alter the average of the results ?

    Thanks

    Leave a comment:


  • NinjaTrader_JoshG
    replied
    I am not seeing anything in your screenshot that shows an order was placed outside of the session hours. Can you you confirm an order was placed outside of the session hours by looking at the chart? The "Start Date" and "End Date" are simply telling you the test period.

    Help Guide- Walk Forward Optimization

    Leave a comment:


  • fredfred
    replied
    This is a screenshot of the walk forward The test period highlighted has a start date of 05/10/2018 end date 09/10/2018. The 6th is a Saturday and shouldn't be included ?

    The Forex Trading Hours do not include Saturday?

    Thank you

    Leave a comment:


  • fredfred
    replied
    I will try it on the SampleMACrossOver strategy and take some screenshots and report back

    Thank you

    Leave a comment:


  • NinjaTrader_JoshG
    replied
    Can you please take a screenshot of where you are seeing trades get executed outside of trading hours?

    Do you see the same results when running the same test on the SampleMaCrossOver strategy in NinjaTrader with the same settings as your strategy?

    Leave a comment:


  • fredfred
    replied
    I have time in force GTC and exit on session close is ticked

    Thank you

    Leave a comment:


  • NinjaTrader_JoshG
    replied
    Do you have "Exit on session close" checked?
    What is set for your Time in force?

    Leave a comment:


  • fredfred
    replied
    Thank you I have found it.

    Again with the walk forward Optimisation I seem to be getting results for the test period over a weekend when there is no trading ?
    I have set optimization for 10 days and a test period for 5 time frame is for 2 months.
    The walk forward test period is for Sat and Sunday which must throw the results out.

    I have checked the Instrument Trading hours are set correctly for Monday to Friday yet the test result dates run over the weekend.

    Thank you

    Leave a comment:


  • NinjaTrader_JoshG
    replied
    Hello fredfred,
    Thanks for your post.

    You can pull up a log of old backtest/WFO results directly inside the Strategy Analyzer.

    https://ninjatrader.com/support/help...ktest_logs.htm

    Leave a comment:


  • fredfred
    started a topic Walk forward optimization

    Walk forward optimization

    Is it possible to re-call the the walkForward optimization window for future reference ? I realise you can export as a spread sheet but of course you loose the summary etc .

    Thanks

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