Walk Forward not working properly?

[lookOutBelow]

Either Walk-Forward optimizing is not working properly, or I don't understand something. Can someone explain this?



After running my walk forward on a strategy that optimizes over 2 days and runs on 1 day...

If I click on the 7/11/10 date under the Walk forward tab and then select the "Trades" tab below. I see a trade that happened on 7/12. Entry time 11:27 am and exit 12:42 pm. This is a short trade.

Now...

If I click on the 7/12/10 date, I see a trade that took place at 10:36am and exited at 1:12pm on 7/12. This is a long trade.


First of all, why is a 7/12 trade showing up when I click on 7/11 in the Walk Forward tab?

And second.. How are these two trades overlapping each other?



Can someone straighten me out on this? This is giving incorrect results since it is putting two trades on at the same time with the same strategy.

[NinjaTrader_Jason]

Hello lookOutBelow,

Unfortunately this is a known issue and limitation at this time. Please see the forum thread at the link below that handles the issue you describe.

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

[lookOutBelow]

Well that is completely disappointing. 5 days of testing down the drain.


So, this is not a bug? This is just the way it has to be in order to work?

If I use something other than 24 hour session (like from 5am to 1pm), this limitation will not crop up?

[NinjaTrader_Jason]

Yes, unfortunately this is a limitation. If you use session templates that do not span multiple days and are not 24 hours like your example, the limitation should not appear.

[lookOutBelow]

Maybe in a future version, you can have some sort of warning for those doing 24 hour sessions. I had no idea this limitation was there until after I spent days honing strategy parameters. It wasn't until I started analyzing individual trades and realized something wasn't right.

Maybe a pop up or something would be helpful for others as they try the same thing.

[NinjaTrader_Jason]

I will forward your suggestion to include such a pop up message to my superiors and ask them if they can add this to the list of future considerations of the software.

Thank you for your feedback.

[NinjaTrader_Jason]

In addition, I was incomplete in my prior explanation. 24 hour session templates do not cause the issue per se.

The issue is caused by the interaction between 24 hour session templates set to a different time zone than the time zone used on your PC.

[lookOutBelow]

In addition, I was incomplete in my prior explanation. 24 hour session templates do not cause the issue per se.

The issue is caused by the interaction between 24 hour session templates set to a different time zone than the time zone used on your PC.

Hmm. Okay.

Should it make a difference if I set my 24/7 session via the session manager to PST (Since I'm in the Pacific Time Zone) instead of Eastern? I tried it over a small test sample and the results were quite a bit different (PST versus EST), but the trades were doubling up (the problem described above) on both tests.

Thanks

[NinjaTrader_Jason]

Unfortunately this will cause duplicate trades as well.

[lookOutBelow]

On a somewhat related note.

I tried something after you mentioned the time zone issues.


1) Ran my strat with the CME US Index Futures RTH which uses Central time zone times.

2) Ran my strat with a session I created. It was the same as #1, but in the Pacific Time zone. (I changed the hours to match the time zone difference)

The results were different. Not by much, but they were off by a few trades.


What is the reason for this? Shouldn't I get identical results?

[NinjaTrader_Jason]

Hello lookOutBelow,

Unfortunately, I am not sure what is causing the difference. I suggest to compare the trades of the tests and check which one is out of synch. Subsequently check the data of both tests to determine why the trades are out of synch.