NinjaTrader Genetic Optimizer

January 5th, 2010, 01:26 PM

piersh

Unfortunately, NT's optimization API doesn't provide this information (at least, I couldn't find a way to retrieve it).

In order to do what you want, you'll have to write a custom OptimizationType. I'd recommend doing this since it gives you much greater control over the results.

- take a look in your "My Documents\NinjaTrader 6.5\bin\Custom\Type" directory. you'll see the classes for the various built-in optimization types (eg. 'max. avg. profit' is in @MaxAvgProfit.cs.
- make a copy of one of these files, change the file name, the class name (to match) and the 'DisplayName' attribute, and have at it!

I have been using a custom method that limits the min/max avg. trades per day (it returns double.NegativeInifinity when there are too many or too few trades), and tries to maximize the expectancy per trade while minimizing the draw-down.

you can get the average number of trades per day like this:

Code

systemPerformance.AllTrades.Count / (Strategy.BackTestTo - Strategy.BackTestFrom).TotalDays

sorry for being so new to NT6.x programming, but I am going to need 2 introductory paragrahs, that help bridge the gap between this fine piece of work that you did and why I need it,

I have other canned strategies that I have bought / lease, but I haven't written any, nor do I use them to back / forward test ideas, so how would this fine piece of work benefit me?

thanks

January 5th, 2010, 06:35 PM

Modyifing the optimisation type allow you to fine-tune how a combinations of parameters is "evaluated" against the others in an historical back-test .... profict factor being the default one is not the best one ... nor maximum profit

I would recommend that you read the miscellanous section in NT/downloads ... there is a lot about customized opt types ...

January 10th, 2010, 04:11 PM

This is what I have as Default optimization type , a risk adjusted Total profit :

Code

                            
public override double GetPerformanceValue(SystemPerformance systemPerformance)
   {
      if (systemPerformance.AllTrades.Count <= 1 ||
systemPerformance.AllTrades.TradesPerformance.Percent.AvgProfit == 0)
         return 0;
      else{                
         return Math.Sqrt(systemPerformance.AllTrades.Count)*
(systemPerformance.AllTrades.TradesPerformance.Percent.AvgProfit)/
(systemPerformance.AllTrades.TradesPerformance.Percent.StdDev) ;
   }
}

January 12th, 2010, 03:53 PM

Piersh

The native GO in NT7 doesn't work properly. It looks like they had a go and then stopped without completing it. Your GO is something I use all the time on 6.5 and has become indispensable. Thanks for your massive contribution!

I know you said you were looking at it with NT7. Is it looking promising?

-thanks

January 12th, 2010, 08:18 PM

goforbroke01

Piersh

The native GO in NT7 doesn't work properly. It looks like they had a go and then stopped without completing it. Your GO is something I use all the time on 6.5 and has become indispensable. Thanks for your massive contribution!

I know you said you were looking at it with NT7. Is it looking promising?

-thanks

Can you tell me more about it ? I used a couple of times and it works fine ......what did you hear exactly ?

January 13th, 2010, 07:26 PM

goforbroke01

I know you said you were looking at it with NT7. Is it looking promising?

yeah, i got some of it kinda ported over, but i ran into a problem with some weird exceptions that NT7 was throwing. i tried asking on the NT support forum but all I got back was the generic "buy into our affiliate support network" bullshit. after that i kinda lost motivation, but i dare say i'll get it working eventually...

January 14th, 2010, 03:57 PM

Piersh, It would be great if you could port it into NT7 as it would greatly speed up optimization process by using multiple cores of the CPU, not available in NT6.5

January 16th, 2010, 08:12 PM

What is a Genetic Optimizer please? I tried google but confused the same.

January 17th, 2010, 09:00 PM

Excuse my igonarance, but what is a genetic optimizer? and how can it help my trading or my strategies? I don't believe in optimization as the market is constantly changing and if you optimize you, it only works for some time.....ST

January 17th, 2010, 09:36 PM

Optimization is a vital step in the process of developing a robust strategy. Please do not confuse this with curve fitting.

NinjaTrader Genetic Optimizer

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NinjaTrader Genetic Optimizer