I'm confused by the way the WFO in NT version 8.0.15 works.
I have a system that makes one trade each trading day, so keeping track is easy.
If I set the optimization period to say 10 days, and the test period to 30 days, then, according to the documentation provided by NT here, I would expect to get a nice contiguous series of non-overlapping test periods each 30 days long WITH NO GAPS!!
Alas, this is not what I am seeing when I run the WFO... For a 2 calendar year period, I would expect to see a total of roughly 490 trades (250 per year minus initial optimization period). I am seeing only 323 trades though. When I look at each test individually, I can see that the optimization period is included in the test period, and is therefore excluded from the test, leaving a GAP of 10 calendar days between each test period. This is not supposed to be the case according to your documentation which shows nice adjacent test periods without gaps. (See top part of image).
In addition, when I right click on a test and select View Optimization Results, the result is a series of zeroes (i.e. unpopulated Trade Collection ??) See lower part of image for detail.
Then, just for fun I tried setting the Optimization Period to 30 days and the Test Period to 10 days, and I found that basically NO trades were taken for any of the test periods. This can't possibly be right.
Could someone from NT please explain why the WFO behaves this way? Thanks in advance.
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