Different results for walkforward optimization for each run

[Cedalgo]

Hi,

What could be a reason for getting different results just by running a walkforward optimization without changing any parameters?
For instance I ran 6 times and they are all different; up to 50% difference between the lowest net profit and highest.

Is this normal/expected?

thanks,
Cedalgo

[QuantKey_Bruce]

Are you using exhaustive or genetic optimization? A genetic optimization almost always returns different results because it is a stochastic process.

[NinjaTrader_BrandonH]

Hello Cedalgo,

Thanks for your post.

This is a result of the way that Walk-Forward Optimizations use different threads to run optimization iterations.

When multiple optimizations run concurrently on different threads, each one can finish at a different time, and will then add its performance results to the list, which is then ordered properly. This should only occur when different optimizations in the test (different parameter combinations) yield identical performance results.

When iteration A with Performance X finishes after iteration B, which also has Performance X, then users can see the related lines in the list of iterations show up in an unexpected order, and the order could even change each time the Walk-Forward Optimization is run. It should also be a fairly rare case that two or more optimization iterations in a Walk-Forward test would yield identical performance results, but when you are iterating over smaller time periods this becomes more likely.

This information is noted on the this forum thread: https://forum.ninjatrader.com/forum/...59#post1160759

Please let us know if we may be of further assistance to you.