Walk Forward Data Errors

[Camdo]

Using NT 7.0.0.10
Walk Forward is not summarizing correctly. The walk forward data is not inputing to the instrument sumary section correctly.
See attached screen shots.

[NinjaTrader_Dierk]

First and foremost: I fail to understand what sense it would make to have optimization periods and test periods of 1 or 2 days. The number of trades resulting (<10 in your sample) by no means would EVER be a solid based for ANY optimization. I suggest consulting relevant web references to get a better understanding on what data base would be needed to avoid curve fitting.

Just my 2cents

A member of our support team will follow up on the tech aspects.

[Camdo]

It does not matter how I use the data.
What matters is that NT is not functioning properly.
The parameters used in the example show, in a concise manner, the errant symptom.

[NinjaTrader_JoshP]

Will get back to you on #1.

#2. I couldn't reproduce your screenshot. How did you manage to get multiple Periods for daily when your test period is only 1 day. Please try with SampleMACrossOver. Thank you.

[Camdo]

How did you manage to get multiple Periods for daily when your test period is only 1 day.

Please refer to the diagram in this post

http://www.ninjatrader-support2.com/vb/showthread.php?t=26297

The time frame is 11/1/09 to 11/13/09 which results in 8 session days. The test period is one day. The optimize period is 2 days.
So the result is 8 test day periods.
The instruments tab is supposed to be a totalization of all the test periods listed on the Walkforward tab.

To get screen #2:
1. Run walk forward.
2. Click instruments tab. Click periods. Click days.
3. Click WalkForward tab.

[NinjaTrader_JoshP]

Camdo,

Unfortunately I am unable to reproduce. When you are in the Instruments tab, it is expected to get 8. When you switch to Walk Forward tab, you can only have 1 period as it is in relation to the test walk forward itself which is 1 day. As you switch to the Walk Forward tab it should auto select a row and show you that WF's Period. If you select around the various other rows they will all be of 1 day.

[Camdo]

As you switch to the Walk Forward tab it should auto select a row and show you that WF's Period

My screen does not auto select a row when I switch tabs. When I change from Instrument to Walkforward, the performance data remains static until I click on a row in the new Walkforward tab. When I do click on a row, the performance tabs correctly show the data for the selected row (test period). My operating system is MS Vista(64) using NT(32 bit).

The above is is a small point however.

I tried SampleMACrossOver. Results are similiar. Data is erroneous in Instruments performance tabs.

[Camdo]

To get screen #2:
1. Select Instruments tab.
2. "Run" a new Walk Forward.
3. Click on instrument row.
4. In performance section Click periods tab. Click days.
5. Now Click WalkForward tab.

The key is to have no prior selections in the tab window when switching back and forth. A new "RUN Walkforward" erases the prior row selections.

[NinjaTrader_JoshP]

Camdo,

Will get back to you. Thank you for your patience.

[NinjaTrader_JoshP]

Camdo,

Here is the deal. When you look at the Instruments tab, the details tabs are not reflective of the walk forward. It is a reran test across that whole period. To illustrate the reason it doesn't work, please consider the chart tab. You can't really have a chart tab with different parameters being plotted across different periods. The same carries over to the Period, Trades, etc. tabs. The only thing that is relevant is the Summary tab. In the next version the irrelevant tabs will be removed.

[Camdo]

I suppose there are some technical issues with indicators on charts.

but many of the performance graphs and trade listings could be salvaged.

I plead with your code writers to keep as much detail as possible. An easy scan of all the data is invaluable.

[NinjaTrader_JoshP]

Camdo,

All the details are preserved by going through the Optimizer and Walk Forward tabs. Trying to aggregate it into the Instruments page would be a performance hit as you cycle through each request it actually reruns the test. This rerunning is necessary to prevent storing huge amounts of data in memory.

[NinjaTrader_Dierk]

We definitely understand your request. Josh outlined the reasoning for our decision correctly. However, you are able to individually browse the details for every optimization and actual trading period by switching to the "Optimizer" or "WalkForward" tab and selecting the period of interest.

[Camdo]

Well it is what it has to be.

I hope you are going to fix the error with the first optomize period.

[NinjaTrader_JoshP]

Camdo,

I believe your analysis of the first optimization period was inaccurate. Please see the attached pictures.

First set of optimizations was 11/1 - 11/2 and that fed into the first walk forward at 11/3. The next step was 11/2 - 11/3 feeding into the walk forward at 11/4.