Whats Walk Forward?

[ShadowKnows]

Hi,

I have read the document about Walk Forward in Strategy Analyzer, but don't really understand it. Could you explain more on this? with example?

Thanks.

[NinjaTrader_Jason]

Hello ShadowKnows,

An optimization will only optimize your strategy. A walk forward optimization will optimize your strategy as well, but also backtests the optimized parameters. It will optimize the strategy on the 'Optimization period'. Subsequently the strategy will be backtested on the 'Test period' using the optimized parameters. Please see the link below for more information.

The Optimizer-tab will display the optimization periods, while the Walkforward-tab will display the test periods.

See the example in the attached screenshot. A optimization period of 28 days is used. This allows three optimization periods as per the From and To dates. So you see three rows in the Optimizer-tab. You will also see three rows in the Walk forward-tab - the subsequent walk forward test of each optimization.

[ShadowKnows]

If I use Optimization on the three peiod manually selected, is it the same as Walk Forward?

[NinjaTrader_Jason]

No, because it does not include the walk forward test. The Walk forward test will optimize your strategy on a set of historical data first (same as optimization) and subsequently the optimized parameters will be further tested on another set of historical data.

[Baruch]

WF is the only valid optimization!
Simple optimization is like waiting for a lottery results and then trying to buy a winning ticket.
In WF you optimize, think you have a winning ticket. Now trade it and see. Again and again.

[ShadowKnows]

Hi Jason,

I mean if I pick a period for Optimization and come up with optimized parameters, and then use them to test another peirod and then pick up the optimized parameters, and then try another period with latest optimized parameters... is it similar to Walk Forward?

Thanks.

[NinjaTrader_Jason]

Please note that you can expect differences between tests in the Strategy Analyzer and running the strategy live. See the link below for information.

http://www.ninjatrader.com/support/helpGuides/nt7/discrepancies_real_time_vs_bac.htm

Yes, that would be similar to a walk forward test. The walk forward test uses only one test period.

[koganam]

Hi Jason,

I mean if I pick a period for Optimization and come up with optimized parameters, and then use them to test another peirod and then pick up the optimized parameters, and then try another period with latest optimized parameters... is it similar to Walk Forward?

Thanks.

What you describe is the Walk-Forward test, and how we used to do it manually with the computer, and a paper tracking record so that we could record what we were doing. Now you can do both parts, in an automatically linked manner, with the computer (NT), so why would you want to do it manually?

[ShadowKnows]

What you describe is the Walk-Forward test, and how we used to do it manually with the computer, and a paper tracking record so that we could record what we were doing. Now you can do both parts, in an automatically linked manner, with the computer (NT), so why would you want to do it manually?

No, I didn't intend to do it manually. I asked because I wanted to make sure if my understanding about Walk Forward is correct.