Contract sizing during walkforwad backtesting

[pantelis]

Hi,

When doing a walkforward backtest on historical data, I want to use my strategy to determine the contract sizes to trade.

The contract size should be determined by the cumulative profits during the TEST period of the walkforward optimisation however, the cumulative profit is also being calculated during the OPTIMISATION period of the walkforward simulation.

Is there any way I can calculate contract size during the TEST period of walkforward
optimation only?

I guess I'm looking for a strategy command such as "Performance.RealtimeTrades.Currency" for the TEST period only.
Any suggestions?

[NinjaTrader_Brett]

Hello,

Thanks for your note.

The same code will run during walk forward optimization and optimization phase. There is no way to separate out code to run one or the other unfortunately as this code would be unable to run live since it would have to be customized to run in optimization runs only which is not the intent of the strategy analyzer.

Let me know if I can be of further assistance.

[pantelis]

How does one then test for contract size optimisation?

[NinjaTrader_Brett]

Hello,

You would need to use a variable to specify your size that you use for your EnterLong and EnterShort. Then set this variable up as a parameter so that you can optimize it.

http://www.ninjatrader.com/support/forum/showthread.php?t=5782

Then on your EnterLong() call you need to use a override /version that includes QTY.

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

Let me know if I can be of further assistance.