Walk forward optimization

[rodriguesdanny]

What settings would I need to use for in and out period if I want to perform a walk-forward optimization over a 15 year period using 3 years in sample 1 year out of sample and starting on 1/1 ending 12/31?

i.e.

1/1/2000 - 12/31/2002 in sample
1/1/2003 - 12/31/2003 out sample

1/1/2001 - 12/31/2003 in sample
1/1/2004 - 12/31/2004 out sample

1/1/2002 - 12/31/2004 in sample
1/1/2005 - 12/31/2004 out sample

etc

[NinjaTrader_Gaby]

Hello rodriguesdanny,

Thank you for your post.

If you want an in sample (Optimization) period of 3 years and 1 year test period you would have to set those settings accordingly in days.

https://ninjatrader.com/support/helpGuides/nt8/index.html?walk_forward_optimize_a_strate.htm#UnderstandingWalkForwardProperties

Please let us know if you have any further questions.

[rodriguesdanny]

The issue with this approach is that when there is a leap year it throws off the start and end date. Here is a quick example I put together.

The parameters are as follows:

1/1/2008 - 9/26/2024
In sample: 1095 (365 x 3)
Out sample: 365

[NinjaTrader_Gaby]

Hello,

Unfortunately, the Strategy Analyzer isn't going to be able to dynamically tell when to decrease or increase the Days based on whether or not is a leap year.

You may consider breaking up your tests into several different tests to account for any years that have a leap year.