Walk Forward Optimization results question

[tchen7]

So I'm trying to test my strategy using the built in Walk Forward Optimization and after running it it gives me a certain percentage for walk forward optimization. However, it seems as though the overall results aren't accurate as to what the individual parts of the optimization show?

For example in the overall results say -1.08% max drawdown from year to date, but when i select a In period week it shows upwards to -5%.

Any idea whats happening with this, or am i missing something

[NinjaTrader_BrandonH]

Hello tchen7,

Thanks for your post.

The walk-forward optimization will do a standard optimization on the number of days set for the parameter "Optimization period (days)". This is known as the "In Sample" test period. After the optimization period, NinjaTrader will use the best parameter combination found and test that forward on non-optimized data that has not been seen yet for the number of days set for the parameter "Test period (days)". This is known as the "Out of sample" test period.

The results for each "Test period" are returned and shown in the Optimization Results Grid along with the Start date, End date, and the best combination found by the optimization period.

If you want to see each individual optimization results you can right-click on the walk forward result and select "Open Optimization Results".

See this help guide page for further detail about running walk-forward optimizations: https://ninjatrader.com/support/help...e_a_strate.htm

Let me know if I may assist further.

[tchen7]

Brandon,

I understand the theory behind walk-forward optimization, however I think where the confusion is that I wanted to ask if you knew why the overall walk-forward optimization results show different maximum drawndown for example, when clearly when I examine a test period the draw down is worse than what the results of the walk-forward optimization show

[NinjaTrader_BrandonH]

Hello tchen7,

Thanks for your note.

Please run a walk forward optimization using the Sample MA Crossover strategy that comes default with NinjaTrader to try and reproduce the behavior.

After reproducing the behavior, please send me a screenshot demonstrating the behavior you are reporting and the walk forward optimization settings used. Please also send the exact steps used to reproduce the issue so I may test this on my end and investigate further.

I look forward to assisting further.

[tchen7]

Brandon, For example,



We see that that the overall performance is showing a max drawdown of -5.98%, but clicking on a test period we can see a clear higher drawdown percentage

[NinjaTrader_BrandonH]

Hello tchen7,

Thanks for your note.

This is the expected behavior when running a walk forward optimization. The In Sample and and Out of Sample test periods are two separate data sets so you might see values differ between In Sample and Out of Sample test periods.

See this help guide page for further detail about running walk-forward optimizations: https://ninjatrader.com/support/help...e_a_strate.htm

Let me know if I may assist further.