Check that you have done it like that:
Player
-> Collision
 - Any side
 - Wall
 - Repeat: yes
-> Physical Response
 - Move Event Actor Only
 - Use Calculated
 - Event multiplier: 1
 - Collide multiplier: 1
 - Event Actor 0
 - Collide Actor 1
-> Add
-> Immediate action
Same as a photo:
That works. 

If you have any questions, ask me, and I'll try to help you! 
