Walk Forward results

[MichaelBruce]

Hi,

The results of my Walk Forward testing are excessively positive. And at first sight, the profit seems impossible given the Chart plots (eg, 2 trades out of the money and still gives positive net result in a certain period).

What can be the problem here? Is there a possibility of the Walk forward calculations conflicting with something else? Or is it normally impossible that the Walk forward simulations differ that much from reality?

Many Thanks,

Michael

[NinjaTrader_Matthew]

Do you have an example of these results that you are getting?

[MichaelBruce]

walk forward results

In attachment you can find an overview of a walk forward result.

The thing is that I have used a 1 day test period, can this be the reason for the euphemistic results?

Many thanks,

Michael

[MichaelBruce]

walk forward results

A remarkable thing is that the conseq. winners/losers are always 0. Can this be related to the issue?

[NinjaTrader_Lance]

Hello,

Could you please attach the strategy (or simplified version of the strategy) so that I may further assist.

It is possible the order submission method is placing orders in a way that is not realistic to live trading. (ex. getting filled on orders above/below where the market actually was at a given time)

Additionally, what bar type and increment are you using?

I look forward to assisting you further.

[ldissinger]

Walk forward with impressive results

When you are doing forward testing with a ZBar for instance, it always says the open is at a place that isn't necessarily reality. There are probably other bars that behave similarly, but a market order placed on the close of a bar always get filled on the open of the bar (more or less) and that isn't always reality.

The only way to get this to work properly is to add a 1 tick, tick chart and tell the system to trade on BarsInProgress = 1. Or, put in stop orders above/below the market at the "required" entry price. If you do a market order, it will fill on the open which is BOGUS, i.e. the walk forward is just processing bars, not ticks within the bars which can lead to erroneous results.

Leroy