I've noticed the the WalkForward Optimization always includes weekend days in it's Optimization Period. I have been using a custom 24/5 session template which starts at Monday 12:00AM and ends at Monday 11:59PM. This is repeated Monday thru Friday. But when I looked at the Optimization tab, the weekend days are alway included. My Optimization Period is 4 and my Test period is 1. I also use a time filter 9:30AM to 4:15PM in my strategy. So the end result is that is that if Monday is the Test Period day it is really only Optimizing 2 days instead of 4.
So how can I exclude weekend days in the WalkForward Optimization, since the 24/5 session is having no affect on excluding 2 weekend days like it should?
Thanks
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kenb2004
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Yesterday, 05:03 PM #2
NinjaTrader_JC
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When my strategy runs it only runs Monday thru Friday ES 930am to 415pm now. How will this have any effect to Walk Forward Optimization if a session template doesn't? I'll give it a try, maybe you should also to verify your suggestion. I think this may be a bug that needs to be addressed. It seems as though days of the week are NOT RECOGNIZED at all in the Walk Forward Optimization or may the Optimization module also.
Thanks
Last edited by kenb2004; Yesterday at 07:50 PM.
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Today, 09:52 AM #4
NinjaTrader_JC
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