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Possible to Access Trades Collection from Inside Optimization Method? (Monte Carlo)
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Possible to Access Trades Collection from Inside Optimization Method? (Monte Carlo)

  #1 (permalink)
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Calgary AB
 
Futures Experience: Intermediate
Platform: AmiBroker, IB
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Possible to Access Trades Collection from Inside Optimization Method? (Monte Carlo)

I have been trying to develop a Monte Carlo simulator that will evaluate the effect of data mining on the combined output of an optimization run.
> Please see "Evidence Based Technical Analysis" by David Aronson for a discussion of the goals/methods of this.

Note: I am applying a strategy to a basket of stocks, so I've also tried to make the Monte Carlo take asset allocation into account.

I think that I have all the logic in place for it to work, but I have not been able to access the system performance data from inside the optimization method. (I have been working off of the optimizer built by TraderDJB)
https://futures.io/download/ninjatrader-7/strategies/599-download.html?view

Essentially, what I need is:
- A collection of the trades taken by each parameter set in the optimization run
- I think that I could do this using an optimization type and passing the data in/out of excel, but I would like to keep it all contained in one location of at all possible.

I would greatly appreciate it if one of the Ninja experts out there could take a look at my code and make any recommendations! Please ignore the troubleshooting print outputs splayed all over the place in it right now, I will clean it up as soon as it's working.

I think that this should be a great addition to anyone that is optimizing a system, so I will also post the working final once the kinks are ironed out.

Attached Files
Register to download File Type: cs DBDefaultBootStrappedOptimize.cs (55.1 KB, 6 views)
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  #3 (permalink)
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bump... any help at all would be appreciated!

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Check this thread:

https://futures.io/elite-automated-ninjatrader-trading/25792-ninjatrader-optimizer-types-custom-fitness.html

I think some of the many optimizers posted there do this already.

Mike

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