Walk-Forward Matrix - Optimizing In / Out Sample Periods

[YakusaTrader]

Hello,

Will there be a possibility to optimize periods for Walk forward optimization?
I currently do it manually and it's really time consuming.

Here is an example:

https://strategyquant.com/doc/walk-forward-matrix/

Thanks!

[NinjaTrader_JoshG]

Hello YakusaTrader,
Thanks for your post.

You can optimizae the period of your strategy by checking the box next to "Optimize Data Series" inside the Strategy Analyzer. Please see the following link for more information: https://ninjatrader.com/support/help...wardProperties

[YakusaTrader]

I am referring to optimizing Start / End dates and not Data Series. P

lease see attached.

Many trading platforms / software have the ability to optimize "optimization period" and "testing period". Here is a link FYI. https://strategyquant.com/doc/walk-forward-matrix/

[NinjaTrader_JoshG]

YakusaTrader,

You cannot optimize a DateTime parameter, so you would need add some code to the strategy to accomplish your goal. Let me know if you would like more information on how to program this manually.

[YakusaTrader]

I'm not sure if adding DateTime conditions to my script would help, but - yes please let me know how I can program that manually.

The idea is to have iterations for "Optimization period (days)" and "Testing Period (days)".
Example:
"Optimization period (days)" Could be from 7 to 280 days with an increment of 7 days.
"Testing Period (days)" " Could be from 7 to 140 days with an increment of 7 days.

[NinjaTrader_JoshG]

YakusaTrader,

Now I understand what you are after. That's not going to be possible. I was thinking more along the lines of the specific date ranges of the test.

There is an existing feature request to be able to optimize "Test period" and "Optimization period", so I will have a vote added on your behalf. The internal tracking number for that feature request is SFT-1287. Please reference this internal tracking number if you ever have questions regarding this feature request.

When a feature request is implemented, you'll find it in the release notes: http://ninjatrader.com/support/helpG...ease_notes.htm