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SQN - System Quality Number optimization type

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

Details: SQN - System Quality Number optimization type
Category: NinjaTrader 8 Indicators and More

December 7th, 2021
Size: 2.90 KB
Downloaded: 96 times

Keywords: sqn van tharpe

Print Instrument Information

This in a NinjaTrader strategy that I use to output information and charts about an instrument, including:
-Range statistics (Including ON, RTH, and IB)
-Harmonic Rotation data
-Day Type data
-SQN Market Type data

When you run this strategy, it will output an Excel Spreadsheet to the directory you specify in the parameters.

There are multiple requirements to run this strategy. This makes use of Microsoft's Interop functionality to generate an Excel spreadsheet. Therefore you MUST have Microsoft Interop installed and add a reference to the Microsoft.Office.Interop.Excell.dll in NinjaTrader. You can learn more about how to do this here. And a big thank you to DionysusToast for his contribution.

Category The Elite Circle

Details: Print Instrument Information
Category: The Elite Circle

July 10th, 2013
Size: 30.03 KB
Downloaded: 526 times

Keywords: day excel market ninjatrader range sqn type statistics interop harmonic rotation

Square of Nine

Another support and resistance indicator, similar to MML.

Originally posted on NT Forums, I don't have the authors info.

COMPATIBILITY:
NinjaTrader 6.5: YES
NinjaTrader 7.0: NOT TESTED [feedback]

Category NinjaTrader 6.5 Indicators

Details: Square of Nine
Category: NinjaTrader 6.5 Indicators

September 15th, 2009
Size: 6.09 KB
Downloaded: 640 times

Keywords: nine of sq9 sqn square suchen

SQN - System Quality Number (Van Tharp)

This is Van Tharp's System Quality Number (SQN) optimizer type for NinjaTrader. Place the SQN.cs file in your Documents\NinjaTrader 6.5\bin\custom\Type directory and then exit and reload Ninja.

Here is information from Ragingbull on SQN:

Quoting

The only way to seriously qualify and optimize any system is through its System Quality Number (SQN). I advice you to refer to Van Tharp for reference on the subject.

Assuming a set of N trades (N>30 for being statistically significant), SQN is defined as follow:

SQN= Squareroot(N) * Average (of the N Profit&Loss) / Std dev (of the N Profit&Loss).

The large the N, the more trading opportunities you have.
The large the average P&L, the better you are obviously.
The smaller the Std dev (P&L), the more regular are your results and the smaller are the drawdowns.

Note here that if you optimize for the largest SQN, you maximize in fact the product N*average P&L and you minimize the Std dev (P&L) and the drawdowns at the same time.

This is exactly what all good traders should be looking for their system.

The code itself was written by Pete S all credit to him.

If you want more information on the SQN (System Quality Number) or Van Tharp you can look here:
https://www.iitm.com/Definitive-Guide-to-Position-Sizing.htm

To use this you need to use Strategy Analyzer and change your "Optimize on..." selection to "my system quality number". This is where you normally choose max net profit, or max profit factor, etc.

Update: here is version 1.3

Category NinjaTrader 6.5 Strategies

Details: SQN - System Quality Number (Van Tharp)
Category: NinjaTrader 6.5 Strategies

July 25th, 2009
Size: 3.29 KB
Downloaded: 725 times

Keywords: number quality sqn system tharp van