B19 - Strategy Analyzer Walkforward Issue

[DanielB]

This is the other bug I discovered last week but didn't have a chance to report.

In walk forwards of a shorter time length (less than a week or so), the following occurs: The strategy starts making trades before the designated walk forward period and all those early trades show up in a bunch at the beginning as shown here. It is consistent from strategy to strategy and pc to pc from what I've seen. As a workaround, I've programmed my strategy to discern when it should begin trading on walk-forwards and wait until that time, but the bug should be addressed.

- DB

[NinjaTrader_Jason]

Hello DB,

I see, when I test it on my end I can reproduce this behavior. The walkforward includes executions outside the test period.

I will forward your findings to Development. Thank you for reporting.

[NinjaTrader_Jason]

Hello DB,

Unfortunately the executions the day before and after the test period can be as expected. Please see the forum thread at the link below that list the same issue.

http://www.ninjatrader.com/support/forum/showthread.php?p=171437#post171437

Please see post #4.

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.

[DanielB]

I'd run into issues with the template where it does count 48 hours and learned that expected behavior (even the chart would show 48 hours) but thought this was separate, especially when it displays it weirdly like the screenshot. Perhaps at least fix its display so I can see those trades.

[NinjaTrader_Jason]

Can you please select the Executions-tab and check what timestamp is listed for the executions displayed for 1/5/2010.

Do the executions list the correct timestamp as displayed in the Chart-tab?

[DanielB]

It looks like the correct timestamps are listed in the executions tab.

[NinjaTrader_Jason]

I see. Unfortunately the Chart-tab does not include all data for 1/5/2010. It seems to start around 6 PM when checking the screenshot. Unfortunately this causes executions that occurred before this time to be displayed on the first price candle.

The chart data that is included is determined by the session template that was used.

[DanielB]

...in other words, expected behavior?

[NinjaTrader_Jason]

Yes, unfortunately this is as expected behavior.

[TheTradingMantis]

Jason,

Unless I am missing something, the end result of the expected behavior is the summary data is incorrect. The summary includes duplicate trades and consequently reports results that are magnified by a factor of 2 (or more) over the actual results.

Why include a summary that is wrong? If the correct values cannot be calculated, don't show them.

I have attached a screenshot that shows trades over 3 days (1/5/09, 1/6/09 and 1/7/09) which are all included in the walk forward summary for 1/6/09.

Thanks,
Greg

[NinjaTrader_JoshP]

Individual reporting may appear to be that way as your session template spans multiple days so it can't split out the info from one calendar day from the other. Unfortunately this is expected behavior and is on our feedback list.

[TheTradingMantis]

Thanks Josh,

Your comment prompted me to try a custom session template that only spans the current day. I set MTWThF to 1:00am to 3:15pm. This solves the problem and works for me because I only trade the CME pit session, but need the pre-market data to correctly calculate momentum and RSI.

But this causes another problem, which I believe may be a bug. Using the standard momentum indicator included with version 7.0.19, I get different momentum and RSI values for the full CME electronic session and the custom session.

As an example, if I set mom=14 on a 1 minute chart and look at a 7:00am bar, the electronic session calculates it correctly with 14 bars, but the custom session appears to go back 15 bars.

Greg

[NinjaTrader_Jason]

Hello gregschr,

Ok, so both Momentum indicators have Period set to 14, correct? However the Momentun indicator in the chart that uses the custom session template uses 15 bars to calculate it value? How did you determine the custom session template chart uses 15 bars?

Please note that the session templates use different times, so the indicator values will be calculated on different amount of data, which can result in different indicator values.

[TheTradingMantis]

Thanks Jason,

You identified my error. I had the timezone set wrong on the custom session.

Greg

[Trader.Jon]

Same behaviour on B22 !!

Individual reporting may appear to be that way as your session template spans multiple days so it can't split out the info from one calendar day from the other. Unfortunately this is expected behavior and is on our feedback list.

I am seeing the same behaviour on B22 ... and it is very troublesome after waiting 2 days for a walkforward to finish (44 days optimize, 3 days test) and see that the same day of trading can be reported in 3 different 'test groups'.

Is there any anticipation that this is being fixed sooner than later?

Jon