Optimization period and testing period

[risingfire]

Is it possible to generate optimal optimization and testing periods? A similar request was made in this post back in 2012:

http://www.ninjatrader.com/support/forum/showthread.php?t=46542

What I'm looking for is a grid-like comparison of in-sample and out-sample results based on, say, max net profit. Thus one axis of the grid would be in-sample periods and one axis would be out-sample periods. Each cell in the chart would be the max net profit for that in/out sample period combination. This would be one method that could determine, then, the best in/out sample periods for any one given optimization or walkthrough analysis.

I don't think there is any provision for this, other than creating such a report by hand and painstakingly doing each in/out optimization manually, but figured I would ask in case it is a feature in NT that I am overlooking, or if there is some other way to accomplish this type of analysis.

Thanks!

[NinjaTrader_ChelseaB]

Hello risingfire,

It is not currently possible to optimize over the Optimization period (days) or Test period (days) fields in the Walk Forward Optimization.

It is also not currently possible to show the in-sample with the out-sample as NinjaTrader will just show the out-sample in the results.

I do see the value in this and I will be submitting a feature request in your behalf for the NinjaTrader development team to consider implementing this in a future version of NinjaTrader.

[kbellare]

Hello risingfire,

It is not currently possible to optimize over the Optimization period (days) or Test period (days) fields in the Walk Forward Optimization.

It is also not currently possible to show the in-sample with the out-sample as NinjaTrader will just show the out-sample in the results.

I do see the value in this and I will be submitting a feature request in your behalf for the NinjaTrader development team to consider implementing this in a future version of NinjaTrader.

Both these are extremely valuable features - Without these, WFO is a trial-and-error painstaking process which defeats the purpose of optimization.
Any update on when these features would be available?

[NinjaTrader_ChelseaB]

Hello kbellare,

It is up to development to decide if and when these will be implemented. If they are implemented it will be in a future major version of NinjaTrader.

No, I do not know if the request is going to be implemented or when.