Combining Walk Forward Test Results

[harr5754]

Hello,

I would like to combine the results of a Walk Forward Optimization into a separate strategy for further analysis. To do this I need to break the out of sample test periods into time segments and use the inputs that were optimized for that period. I did not see where I could do this using the Strategy Builder. Basically I'm trying to create a code that assigns input values if the on bar update is between dates A and B and then assign different values if the on bar update is between dates, C and D, and so on. I was looking for a date function but could not find one. Would appreciate if you could point me in the right direction.

Thanks,
Ben

[NinjaTrader_ChrisL]

Hi Ben, thanks for writing in.

Once the walk forward optimization is finished, you can click on any one of the results at the top, this will load the parameters used to find this best-case scenario for the selected parameters. Once you have selected those, you can right-click the side menu of the strategy analyzer and generate a template that can be loaded at a later time either in the strategy analyzer or when deploying the strategy onto a chart.

Kind regards,
-ChrisL

[harr5754]

Thanks for getting back to me, Chris.

What I'm trying to do is a little different. My Walkforward Optimization goes back 10 years. I'm using a 4 year optimization period and a 1 year Test period to generate out of sample testing. This produces 6 each one year results a the top of the analyzer. I want to stitch these 6 results together to create a single strategy covering all 6 years. As I understand, your suggestion would create 6 different templates.

I'm guessing I will need to create a Ninjascript something like this:

// year 1
If date > Jan 1 2014 and < Dec 31, 2014
Optimized Input from previous 4 years = X
Run strategy

// year 2
If date > Jan 1 2015 and < Dec 31, 2015
Optimized Input from previous 4 years = Y
Run strategy

// year 3
If date > Jan 1 2016 and < Dec 31, 2016
Optimized Input from previous 4 years = Z
Run strategy

and so on for years, 4, 5 and 6

This would create a single strategy giving me the performance results for 6 out of sample years for further evaluation. Not sure if I'm explaining very well.

Thanks,
Ben

[harr5754]

Following up Post #3: How do I code "If date > Jan 1 2014 and < Dec 31, 2014"?

[NinjaTrader_ChrisL]

Hi harr5754, thanks for your reply.

The walk-forward optimizer is doing this for you automatically. The results displayed at the end of the optimization are only out of sample results. See here for the documentation:

https://ninjatrader.com/support/helpGuides/nt8/?walk_forward_optimize_a_strate.htm#UnderstandingWalkForwardResults

We also have an example of how to make a time filter in the builder here:

https://ninjatrader.com/support/helpGuides/nt8/?strategybuilder_condition_builder.htm#HowToCreateTimeFilters

Best regards,
-ChrisL

[harr5754]

Thanks Chris,

I was able to get the combined walk forward test results I wanted to analyze by saving the top line to a new tab. The link for the time filter was also helpful.

I do have another question. In setting up my optimization and walk forward parameters, I see a check box for commissions but could not find where I could enter a value. Would appreciate if you could tell me where this is.

Regards,
Ben

[NinjaTrader_ChrisL]

Hi Ben, thanks for your reply.

A commission template must be applied to the Sim101 account (Control Center>Accounts tab>right click account>Edit Account>select a template under Commission). You can add and edit commission templates under Tools>Commissions.

Kind regards,
-ChrisL