Anchor Walk-forward Optimization

[shadowskill84]

Hello,

I've noticed that the WFO does not have an option to anchor the start date.

For example, if starting at 12/1/2010 i wanted to optimize 2 days, then run forward 1 day, the second iteration would actually optimize 3 days (when the in-sample data period is moved forward by 1 day, the beginning date is anchored to 12/1/2010, resulting in a 3 day in-sample period). The third iteration would optimize 4 days, and so on.

Is there a way (whether by a custom cs file, or tickering with options) to have the WFO work in this way? Or is there any future plan to incorporate this option into NinjaTrader?

Thank You

[NinjaTrader_Brett]

Hello,

Thanks for your note.

We have no test strategy for this type of backtesting currently at this time and I know of no plans to include it in the future Unfortunately.

Let me know if I can be of further assistance.

[shadowskill84]

Thank you for your quick response.

I noticed that it possible to create your own optimizing method through a custom C# script.

Is there a way to mimic this backtesting behavior through a custom script as well?

Thank you.

[NinjaTrader_Brett]

Hello,

Unfortunately this would not be customizable through NinjaScript.

Let me know if I can be of further assistance.

[shadowskill84]

Thank you for your help.