Walk Forward Optimization periods in bars?

[tgergely]

Hi,
I'm implementing weekly/monthly/etc asset rotational strategies and I want to walk-forward-optimize my strategies. I want to synchronize the trade frequencies with the optimization/test periods, but optimization/test periods are given in calendar days which is somewhat messy to synchronize with daily data. Is it possible to set the test/optimization periods in bars or anything else instead of calendar days?

For example my strategy trades once a week on average (every 5th bar with daily data), so I want to set the optimization period to 60 bars (~3 months) and the test period to 10 bars (~2 weeks). Basically, I want the strategy to re-optimize its parameters at every second trade. But if I do not sync the trade frequency with the test period (and set it simply to 14 calendar days) the walk forward results are pretty much skewed (because of the large ratio of the broken trade periods).

Thanks,
Greg

[NinjaTrader_CalH]

Hello Greg,

Thank you for your note.

It is not possible to change the optimization days to use bars or anything else. It uses days for its calculations.

Let me know if I can be of further assistance.