Is "thread management" needed when Optimizing and overriding "OnExecutionUpdate" ?

[waltFX]

I just want to confirm that "OnExecutionUpdate" is works as expected while optimizing OR do I have to code something special in the way of thread management?


Note: I do use "IsInstantiatedOnEachOptimizationIteration = true" and insure my collections are reset.

I am attempting to determine why my optimization results are different for the same data & parameters each time I run.
Sometimes the results are not too different but other times, very different so I think it my be "thread related" and the only "non-standard" override is "OnExecutionUpdate"

Thanks!

[NinjaTrader_ChrisL]

Hello, thanks for writing in. You do not need to manage anything differently if using OnExecutionUpdate. The difference in data is either nonmatching data or a lack of intrabar granularity. If your strategy does not add any extra series, you can set "Order Fill Resolution" to "High>1Tick" to improve order fill estimation. There is a more in-depth guide here:

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/100192-comparing-real-time-historical-and-replay-performance#post100192

[waltFX]

Thanks Chris;
with the normal optimizer, everything is great BUT the issue is the "walk forward optimizer".
Run the "sampleMAcrossover" with the "optimization period" = 2 and "test period" = 1 and parameters of 10;11;1 & 24;25;1 (or any other values)
Each run produces a different results which MAY match but can also be very different.
>> There is already an open bug in the WFO and I notified them that is is also an issue...

[NinjaTrader_ChrisL]

Hi, You will notice in this walk forward optimization the parameter set with the start/end date, you’ll see they are often not the same between runs, so the result is expected to happen.

[waltFX]

I agree, if I change the date, I would expect the results to change BUT when the dates are the same and the parameters are the same for each run, the results are NOT the same...