Strange one this. Using SampleMACrossover, I have set up a walk forward analysis with an optimisation period of 672 days (96 weeks) and a test period of 84 days (12 weeks).
Given I have data ranging from 15/05/2006 to 20/08/2010, and I work out the corresponding date ranges (ignoring the final, incomplete walk forward) to be:
- Optimisation Window: 15/05/2006-16/03/2008; Walk Forward: 17/03/2008-08/06/2008
- Optimisation Window: 07/08/2006-08/06/2008; Walk Forward: 09/06/2008-31/08/2008
- Optimisation Window: 30/10/2006-31/08/2008; Walk Forward: 01/09/2008-23/11/2008
- Optimisation Window: 22/01/2007-23/11/2008; Walk Forward: 24/11/2008-15/02/2009
- Optimisation Window: 16/04/2007-15/02/2009; Walk Forward: 16/02/2009-10/05/2009
- Optimisation Window: 09/07/2007-10/05/2009; Walk Forward: 11/05/2009-02/08/2009
- Optimisation Window: 01/10/2007-02/08/2009; Walk Forward: 03/08/2009-25/10/2009
- Optimisation Window: 24/12/2007-25/10/2009; Walk Forward: 26/10/2009-17/01/2010
- Optimisation Window: 17/03/2008-17/01/2010; Walk Forward: 18/01/2010-11/04/2010
- Optimisation Window: 09/06/2008-11/04/2010; Walk Forward: 12/04/2010-04/07/2010
Now, NinjaTrader reproduces this, as expected, but things get a little weird when I look closer at the trades for the different periods. It seems as though the simulations don't stick properly to these date ranges. When studying the 'Trades' panel for a specific Optimisation, occasionally a trade taking place entirely prior to the start date appears to be included, and this seems to happen REGULARLY for Walk Forward trade sets!
What's going on!? Why is the strategy operating outside the specified date range?
Note: I am using the Default 24/7 session template as I am studying Forex (old GAIN data that I still have from prior to their departure) - I'm sure people using tighter session templates might easily never come across this.
Edit: Workaround is here: http://www.ninjatrader.com/support/f...47&postcount=8
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