Last night a ran one of my strats ( NT6.5, FDAX, range bars, 1 contract) instructing the optimizer to only configure profit and loss targets within a fairly narrow range. When the process was completed, I thought I'd gone to heaven without dying.
For a 60 day period it showed a profit of +$30K. I almost wept for joy. So, just to make sure I wasn't looking at a mirage, I opened a new chart with the exact same parameters and newly prescribed targets per the optomizer for a backtest. Well, guess what? The strat was now marginally profitable and the trades were no where near the same as the ones depicted by the optimizer.
From this experience, I have to conclude that any optimizing, backtesting or anything that isn't real-time and live before your eyes is a complete clusterf**k and worthless.
Now, I 'm open to listening to others on why I'm wrong.
Last edited by Zoethecus; May 22nd, 2010 at 10:40 AM.
Were you using just a plain range bar type? If so, were you using piersh's genetic optimizer? If so, what exact version of the GO and of NT 6.5?
I ask because I notified piersh a couple months ago about a major problem where I was getting inaccurate results via the GO, similar to what you are explaining. Record the settings the GO said were optimal, and re-run the strategy as a backtest (not optimizer) using the same settings and see if they match. I never heard back from piersh, I am not sure if he is working on this anymore.
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My minions have been extensively testing this GO and have concluded it cannot be trusted to produce accurate results. You're better off using the default optimizer in NT7 despite the absence of additional bells and whistles.
"If it's too good to be true, it probably isn't."
Last edited by Zoethecus; June 23rd, 2010 at 06:07 PM.
The following 2 users say Thank You to Zoethecus for this post:
Thanks for your last note about your experiences with this GO. I just was catching up on the NinjaTrader GO tools space today and was skimming thru this thread as I'm ready to start using them. Have you tried MoGo (pronounced Mojo) here -> zkwentz's MoGo at master - GitHub ?
So far I'm aware of following GO tools for Ninja:
* PH Genetics (this thread)
* Peter's ? (I think PH Genetics is based on Peter's but not sure of link for this - I'll try to find it either on this forum or Ninja's)
Do you know of any others out there? I'd like to kind of get a lay of the land as it stands now to see which one I should go forward with in further testing and hopefully actual use.
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The site states:
The source code is also free for anyone to download. Note that even though NinjaTrader/MoGo are both .NET 2.0 apps, the MoGo source code and solution require Visual Studio 2008 due to the use of C# 3.0-specific language features.
Have any idea if it works for later versions of Visual Studio? (asking as I have VS2010) and have you tried it with NT7? (as I don't use 6.5).
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