Walk forward results bug

[pantelis]

In NT6.5, after a walk forward optimization, the Instruments tab shows the regular backtest result over the full data range and when you hit the graphs tab, you see the cumulative profit of the regular backtest result over the full data range. And yes. the individual walk forward results are listed under the Walk Forward tab for review.</SPAN>

Now, in NT7, after a walk forward optimization, the Instruments tab shows the regular backtest result over the full data range and when you hit the graphs tab, you DO NOT see the correct cumulative profit of the regular backtest result over the full data range. And yes, the individual walk forward results are listed under the Walk Forward tab for review.

[NinjaTrader_JoshP]

pantelis,

What you get is an aggregated result of the walk forwards. This is the expected behavior.

[pantelis]

Josh,

Yes I know but the aggreage result of the walk forward test is in error with the cummulative profit on the graphs tab (no error in NT6.5).

[NinjaTrader_JoshP]

Understood. Thank you. I will get back to you at a later point in time.

[NinjaTrader_JoshP]

Development has informed me this is expected behavior. NT7 merges the values differently through a weighted average and so that is why it is different than from 6.5.

[pantelis]

Josh,

I am not comparing the specific result of NT6.5 with NT7. When NT6.5 aggregate says for example a net profit of $12000, the corresponding cummulative profit graph ends up showing a net proft of $12000. When NT7 aggregate says for example a net profit of $10000, the corresponding cummulative profit graph ends up showing a net proft of -$35000. This just can't be right!!

[NinjaTrader_JoshP]

pantelis,

NT6.5 does a straight aggregation. NT7 does a weighted average. This is expected behavior for NT7 as trade details are not saved like they were in 6.5. In the next beta version you will have the correct listing of relevant tabs when viewing from the Instrument tab. Graphs and Charts are not relevant and will not be available.

[pantelis]

Josh,

So, to get a cummulated profit graph on an aggregated walk forward test in NT7, I would have to do what I am doing now and that is to export the walkthrough results into excel and create a cummulative profit column and then plot it in excel. Is'nt this a step backwards from NT6.5?

[NinjaTrader_JoshP]

pantelis,

There are many factors going into how the aggregated results are presented. In 6.5 it literally meant rerunning the walk forward again to be able to grab all the trade details. In 7, trade details are not stored and there will be no aggregation in that respect.

[pantelis]

Are we talking about different things here?

The data is there under the walk forward tab in NT7. This is the data I export to excel to plot the cumulative profit (something I did not have to do in NT6.5).

[NinjaTrader_JoshP]

pantellis,

The details are not there. Those are just summary results. When you try to view the details they are generated again through a rerun. In the next version you will see the only tabs that are relevant for the Instruments tab when using a Walk Forward.

[pantelis]

But I don't want the details. I just want the cumulative profit graph from the aggregate summary results like I used to get from NT6.5.

I guess what you are saying is that the instrument tab cumulative profit graph of the walk forward test in NT6.5 is a thing of the past?

[NinjaTrader_JoshP]

Yes, you will not have this tab as the way it is generated is irrelevant.

[pantelis]

Just tested the latest Beta (7.0.0.11) and this tab is no longer there as you predicted. However, when you click on the instrument tab then right click then hit the performance viewer, the summary tab is correct but when you hit the Graph tab, the graph is still wrong as it does not reflect the summary tab.

[NinjaTrader_JoshP]

Thanks pantelis. We will add it to our list as well. For the same reason the general Strategy Analyzer view of the performance was irrelevant, viewing it here is irrelevant as well.