This is a new optimizer type for comparing strategies in the Strategy Analyzer called System Quality Number originally devised by Van Tharpe. The formula is
SQN = sqrt(N) * average("Profit") / stddev("Profit")
where N is the number of trades, which encourages a large number of trades, a large average profit, and a small standard deviation.
To install, take SQN.cs and
1. Copy this to My Documents/NinjaTrader 8/bin/Custom/OptimizationFitnesses
2. Recompile any of your indicators or strategies -- this will cause the optimizer type to be compiled as well
3. "SQN - System Quality Number" will show up in your list of optimizer types
4. The SQN value shows up in the Performance column on the grid
Category NinjaTrader 8 Indicators and More
|
|
|
