NinjaTrader Genetic Optimizer

May 13th, 2010, 03:27 PM

Verge, as for which version, I use strictly Ninja Trader 7 but the changes aren't platform specific.

The .xml file is irrelevant, I edited the PH Genetic 1.12.zip folder directly, putting in my new .cs files in and never actually "exported" it from NT at all. So, that is why its version matches the version you downloaded, even though it wasn't from 6.5 at all.

By the way, you'd asked about minimum trades and I recall seeing this in SQN:

Code

		public static int sMinTrades = 0;
		

		public override double GetPerformanceValue(SystemPerformance systemPerformance)
		{
			// Allow override of minimum number of trades to return a value
			// Parameter is SQNMinTrades
			int minTrades = 30;
			if (sMinTrades > 0)
			{
				minTrades = sMinTrades;
			}
			else
			{
				int n;
				for (n = 0; n < Strategy.Parameters.Count; n++)
				{
					if ("SQNMinTrades".CompareTo(Strategy.Parameters[n].Name) == 0)
					{
						minTrades = (int)Strategy.Parameters[n].Value;
						break;
					}
				}
			}
		
			double numTrades = systemPerformance.AllTrades.Count;
			
			if (numTrades < minTrades)
				return 0;

If you change the sMinTrades to be what you want, this code can overwrite/insert onto the beginning of whatever optimization type code you use and it will enforce a minimum number of trades. With more complex coding, it could be made to look for that value from the Strategy so that it could be easily editable. It would be easier to show you if you told me which type you usually optimize for.

- DJB/TFX

May 13th, 2010, 03:34 PM

Your last comment was as I was typing a reply, so here you go with the code added to Max Profit Factor. I set it to a minimum of 20, change as you like. Seeing how it was done should be sufficient for you to apply it to any of the others. These files are in your Custom\Type folder.

May 13th, 2010, 03:37 PM

verge

The reason for the maximum number of trades are I would like a system to trade around twice a day (for example). I am unfortunately not skilled enough in C# to write an optimization function to control this.

Any suggestions from anyone on how I can achieve the above will be appreciated.

You can create your own performance Type (Net Profit, Profit Factor, and VergeCustom for instance).

Within that (NT\bin\Custom\Type\customVerge.cs, using another one like NetProfit as example), you can just check for trades per day and then return double infinity to reject a value too low.

Below is hand typed, not tested...

Code

                            
double tradesPerDay;
int totalTrades;

tradesPerDay = systemPerformance.AllTrades.TradesPerformance.TradesPerDay;
totalTrades = systemPerformance.AllTrades.Count;

if (tradesPerDay == totalTrades) return double.NegativeInfinity; // seems to be NT bug

if (tradesPerDay < 2) return double.NegativeInfinity; // rejection threshold

Mike

May 13th, 2010, 04:27 PM

Traderfx & Mike

Thank you both. I use a number of different optimization functions (because I am still searching for the ideal one) and will now be able to change them with the help you have given me.

Now that I have your attention I would like to ask about one other enhancement that I would like on this GO - and that is to write the detailed results to a csv type file so that I can use it to draw graphs. MOGO creates such a file as an option - see screen-shot for example - after it has been imported in to Excel. (the first line in the file are the parameter names)

I know that Piersh's GO writes to the output window - but not all the results - only the end of every generation ( I think). I would like the number of entries in the file to be = generations X populations size. I typically use files with around 65 000 records. Again - any ideas of how I can do this will be appreciated.

May 14th, 2010, 01:32 AM

Dear Verge Sir, may I ask you a question?

Since the MoGo has everything you ever wanted, why bother with trying to have another optimizer meet all these specific needs?

As far as creating a csv output for every iteration, it's above my pay grade.

- TFX

May 14th, 2010, 02:38 AM

TraderFX

Dear Verge Sir, may I ask you a question?

Since the MoGo has everything you ever wanted, why bother with trying to have another optimizer meet all these specific needs?

As far as creating a csv output for every iteration, it's above my pay grade.

- TFX

MoGo does not work in NT7

May 20th, 2010, 06:21 PM

Can one of you frequent users, please explain what each of these options do and how best to use them?

May 20th, 2010, 06:31 PM

Zoethecus

Can one of you frequent users, please explain what each of these options do and how best to use them?

I think you shoudl read the Wikipedia article on GA, you'll have your answers.
Not for the "Min Performance" parameter, which is not specific to usual GA usage.

May 20th, 2010, 08:31 PM

sam028

I think you shoudl read the Wikipedia article on GA, you'll have your answers.
Not for the "Min Performance" parameter, which is not specific to usual GA usage.

Nope that didn't answer my question, but thanks for the link. A more user friendly description drilled down to trading systems is what I'm after.

I'm real slow and stupid; high level stuff goes right over my head.

May 21st, 2010, 01:12 PM

if you hover over the controls, you should see a short description of what each one does...

NinjaTrader Genetic Optimizer

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NinjaTrader Genetic Optimizer