I am running into some issues with the Walk Forward Optimizer. This is a pretty basic walk forward, these are the parameters:
Optimize on: Max Profit Factor
Optimize Data Series: True
So I am only optimizing on the data series over the walk forward.
Data Series. Minute 5-60 min, in 5 steps
Optimization Period: 90
Test period (days): 30
Issue #1. The first issue is the display on the Walk Forward is showing a different parameter than the optimizer actually used. The Walk Forward is saying that the data series used was 5 min, but in fact when you pull up the chart it is using 60 min. I anticipate this doesn't impact results much, but the next issue does.
Issue#2. When I run the last optimization window of 90 days for the current parameters (3/3/18 - 5/2/18) based on the same optimization of the data series alone, the optimal value is totally different from what the Walk Forward gave. The optimizer is saying 35 minutes is the best data series and is actually saying 60 minutes was the worst performer.
Any idea what may be causing these bugs? Are there any open tickets on this? Just not sure how to structure a proper walk forward when I am seeing such discrepancies.
Thanks
Comment