Walk-forward periods overlap

[adamus]

The results of a walk-forward optimisation have multiple periods of walk-forward, all of which overlap by 2 days. The values in the 'from' and 'to' columns are correct, but the trades begin 2 days earlier.and finish a day later.

For instance, I am testing $EURCHF, I'm using a 15 min time frame, testing a long period from 2008 up to the current day. This is one of the walk-forward periods:

from 2010-01-15 00:00:00 to 2010-02-11 00:00:00

and the first trade entry date is 2010-01-14 04:45

and the last trade entry date is 2010-02-12 21:00:00

This is true for all the walk-forward periods.

The results mean that many trades are presumably counted twice in the calculation, the statistics will be wrong, and it also makes extracting the trades and compiling them into a continuous history a lot more work than it should be, because I have to delete the overlapping trades.

This is NT7 beta 16.

Thanks.

[NinjaTrader_Jason]

Hello adamus,

I am able to reproduce the issue. Thank you for reporting.

I will forward your findings to Development to further troubleshoot the issue.

[adamus]

Super.

Any forecast of the next beta release?

[NinjaTrader_Jason]

Hello adamus,

Unfortunately this behavior is as expected. This is the only way to include the full trading session as defined by the session template 'Forex'.

It will occur as per session templates that are 24 hours and cross multiple days. It will include trades for the day before and after, since these dates are required to get the full trading session as defined by the session template.

Unfortunately there is no ETA yet when th enext beta version will be released.

[adamus]

I'll have to write some code to jettison the excess days when I merge them, assuming you mean that this is a permanent feature.

If NT changes the length of the walk-forward periods from the given 'number of days' property, why shouldn't it also shift the periods to match the beginnings and ends of the week, so that they don't overlap?

Allowing the periods to overlap raises so many issues regarding the usefulness of the final walk-forward results. The extra trades that are inserted would never happen in live trading.

[NinjaTrader_JoshP]

adamus,

Unfortunately there are many implications and this is unfortunately a limitation. This is the only way to get it to properly show full session as defined by the session template for all things, not just walk forward optimizations.