Walk Forward Optimization

[JonesWooHoo]

Hi,

The Walk Forward Optimization feature is a great one. Its really good at scaring me, and I am far happier to lose pretend money rather than real money.

I am requesting a change to the way it moves forward.
Say it is set to optimize over 320 days and test for 30 days.

It optimizes for 320 moves forward 320, then walks forward 30, then repeats.
Each cycle uses 350 days, so if I have 4 years of data, I only get 4 months of actual walk forward results.

It would be better if it moved back 320 before repeating the next cycle. This way, I could get at least 36 months of walk forward results.
If I can get things working well, this would give me far more confidence going forward live.

[NinjaTrader_Dierk]

Sorry, not sure I follow.

[JonesWooHoo]

Sorry, it is a bit hard to explain.

To summarize:
If I have 4 years of data, am optimizing on 320 days, with a forward test of 30 days, I would like to get 36 rows of walk forward results rather than 4.

[NinjaTrader_Dierk]

I see. So basically the backtest period should be different than the roll forward period, no?

-> this already is supported, since there is "Optimization period" (320 days) and "Test period"(30 days).

[JonesWooHoo]

It already has different optimize (I was using 320 days) and test periods (I was using 30 days).

With 4 years of data, I would like it to output 36 rows of result data, but currently it outputs only 4.

ie. I would like it to optimize 320 then test 30 days, then same for the *next* 30 days, then same for the next 30 days etc. This would result in (approx) 36 rows of result data, where each row shows the results of a 30 day test. Each 30 day test period would be consecutive.

At the moment they are not consecutive, there is 320 days between each 30 day test. I only get 4 result rows. ie. Currently the optimization ends 320 days after the end of the last test, whereas it should really end at the end of the last test period.

Gees this is hard to explain. You are going to have to try it see what I mean.

[NinjaTrader_JoshP]

It sounds like your "Keep best # results" is set to 4 to me. Try setting it to 36?

[NinjaTrader_Dierk]

>> ie. I would like it to optimize 320 then test 30 days, then same for the *next* 30 days, then same for the next 30 days etc.
It already works this way.

[JonesWooHoo]

I can't get it to work like that.

Here are my settings


Here is the results:


As you can see, there are 3 results rows.
I am testing on nearly 3 years of minute data for AUD/USD future
You can see in the results, they show Nov/Dec 2005, then it skips to Oct/Nov 2006, then it skips to Aug/Sept 2007.
These results seem to be separated by the optimization time (320 days).

I would like there to be 1 result for each 30 days after the first 320 days. ie about 24 result rows.

[NinjaTrader_Dierk]

My apologies. This is a bug. I would like to send you a custom build. Please PM me at "dierk AT ninjatrader DOT com".

Sorry for the inconvenience.