Walk forward optimization - is it rolling?

[stefy]

Hi everyone

I was wondering if the Walk forward optimization is rolling, i.e. if I choose optimization period 1 day and test period 5 days (having a 30 day dataset), does NJ rerun optimization every day to trade the next 5 days?

Thank you

[NinjaTrader_JoshP]

It indeed does it in the manner you have mentioned. http://www.ninjatrader-support.com/H...AStrategy.html

[sourcem]

Josh,

I am doing a walk forward optimization right now with a strategy for the ES. I have chosen the time frame the entire June contract period from March 12 to June 8, 2009 with a optimization period of 28 days and a test period of 14 days.

I understand that each subsequent optimization period is optimized with the parameter variables that I have submitted and then tested for results in the following 14 day period.

What I would like to know is what settings should I use tomorrow for my trading? When I see the walk forward results, I do not see the final selection of the parameter variables whcih provided the most robust settings for the given 3 month time period.

Am I missing something? Where do I look for the best settings that were derived from this walk forward?

I hope my question makes sense.

When I click on the settings tab in the walk forward results page, it only shows all the multiple variable settings and their ranges that I had specified but not the final product of the walk forward?

Thanks,
Kailash

[NinjaTrader_Bertrand]

Kailash, correct the 'Walk Forward' tab will display the individual walk forward test results- from those you'll have to determine which is the 'best' parameter combination you want to use for the next trading session.

[sourcem]

Bertrand,

Thank you for helping. I am still not clear on somethings.

In my example, the walk forward tab only shows the summary results for the first out of sample period of 14 days. None of the subsequent periods are shown and the parameter combinations for that period are also not shown separately?

I am still missing something?

The instrument tab shows the whole time frame of 3 months with different parameter combinations, the optimizer shows the first month in-sample period and the walk-forward tab shows only 14 days of the first out of sample period.

Does this mean only one in-sample period was used but not the subsequent periods?

How do I spot which was the most robust setting for the whole period, for my future trading?

Thanks,
Kailash

P.S. Is there a way I can send you the walk-forward results page with all the three tabs so you can look at what I mean?

[NinjaTrader_Bertrand]

Kailash, sure just attach your screenshot to your post and we'll have a look. You will need to examine the individual walk forward results and then check which parameter set did the best performance on avg...it may also be helpful to exclude any unrealistic outliers from consideration.

The instruments tab will display the backtest result over all the dataset with the default inputs. You also want to make sure the chosen backtest range (From - To) fits with the optimzation and test period settings, so enough data is available to generate multiple walk forward runs as you expect.