System Optimization Fitness Functions - NinjaTrader Programming | futures io social day trading
futures io futures trading


System Optimization Fitness Functions
Updated: Views / Replies:9,079 / 27
Created: by fluxsmith Attachments:4

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 4  
 
Thread Tools Search this Thread
 

System Optimization Fitness Functions

  #21 (permalink)
Elite Member
Santa Maria
 
Futures Experience: Advanced
Platform: NinjaTrader, ThinkOrSwim
Broker/Data: Mirus/Zen-Fire
Favorite Futures: ES
 
Posts: 295 since May 2010
Thanks: 101 given, 320 received


pakricard View Post
...Also has anyone worked on Expectancy score optimization ?

I can't really justify any of this scientifically (I'm not much of a mathametician), but I prefer my SQN performance function for choosing parameters. I then use expectancy for ranking my many system attempts to decide which ones to deploy my limited capital on. Actually I rank by sharpe ratio x expectancy. I figure by doing so I'm preferring both high expectancy and consistency.

Reply With Quote
 
  #22 (permalink)
Elite Member
Chicago, IL
 
Futures Experience: Master
Platform: Kinetick Ninja Trader <7>
Broker/Data: Ninja & IB
Favorite Futures: YM & Equities & Options & Mutual Funds
 
Posts: 174 since Jun 2010
Thanks: 56 given, 82 received

This is an interesting thread. If I understand these posts, what was coded can been seen when analyzing the chart after the optimization, or walk forward, or back test for that matter.

If the trade looks to good to be true on the chart, then it likely would not occur in a live environment. After an optimization or back test or walk forward, I am always studying the chart to see if the numbers are real or just the way the bars plot outside of the live environment.

RE Win/Loss, what about a trailing stop? You could have a winner but not a winner according to your parameters, and with a health risk reward anything over 50% is pretty darn good.

What is particular interesting to me is the max consecutive losers and biggest loosing trade.... How much pain can you take before you're tempted to switch things up in a live environment.

I am looking forward to examining you're optimization code, thanks for sharing.

Reply With Quote
 
  #23 (permalink)
Elite Member
Tonganoxie, Kansas
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Mirus Futures/Zen-Fire
Favorite Futures: CL,6E
 
gordo's Avatar
 
Posts: 160 since Nov 2009
Thanks: 129 given, 399 received


Hi guys,

How do I get the downloaded OptimizerType files to show up in the drop down menu? I copied the file into NinjaTrader7/bin/Custom/Type...now what???

Thanks,
Gordo

Reply With Quote
 
  #24 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,238 since Jun 2009
Thanks: 29,350 given, 83,218 received


gordo View Post
Hi guys,

How do I get the downloaded OptimizerType files to show up in the drop down menu? I copied the file into NinjaTrader7/bin/Custom/Type...now what???

Thanks,
Gordo

Restart Ninja.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
The following 2 users say Thank You to Big Mike for this post:
 
  #25 (permalink)
Elite Member
Indonesia
 
Futures Experience: Beginner
Platform: NT
Favorite Futures: FDAX
 
Posts: 29 since Jan 2011
Thanks: 13 given, 17 received


gordo View Post
Hi guys,

How do I get the downloaded OptimizerType files to show up in the drop down menu? I copied the file into NinjaTrader7/bin/Custom/Type...now what???

Thanks,
Gordo

Also, you need to recompile any strategy, so NT will compile the new optimizer type.

Reply With Quote
The following user says Thank You to pakricard for this post:
 
  #26 (permalink)
Trading for Fun
Europe,Nomad
 
Futures Experience: Intermediate
Platform: Ninja,Jforex,MT4
Broker/Data: DukasCopy,AMP,Alpari,TickMill
Favorite Futures: ES,YM
 
Posts: 85 since Nov 2010
Thanks: 25 given, 30 received

Wealth Lab Score

Here is link how to calculate Wealth Lab Score, how they rank systems
Top 25 ChartScripts Update Utility

I tried once to code, it. but not had enough experience tweak ninja. It should be possible to code. I found all values.
I try to find my code, if somebody else want try to code it.

Reply With Quote
 
  #27 (permalink)
Elite Member
Tonganoxie, Kansas
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Mirus Futures/Zen-Fire
Favorite Futures: CL,6E
 
gordo's Avatar
 
Posts: 160 since Nov 2009
Thanks: 129 given, 399 received

Expectancy Score


pakricard View Post
...has anyone worked on Expectancy score optimization ?

Funny you should ask. I went through the futures.io (formerly BMT) threads and did not find anyone who had comleted the work identified in your link. I think there is another nice link here in futures.io (formerly BMT) that goes along with this discussion that is a bit older, but still relevant to this discussion:

https://futures.io/psychology-money-management/458-van-tharps-max-expectancy.html

@caprica did most of the work, but did not deal with the non-scratch (break-even) trades. I took a stab at it and put it in the downloads:

https://futures.io/free_downloads/ninjatrader-7/misc/898-download.html?view

I borrowed a lot of the work from @caprica and then took the formulas from Unicorn Research to build the optimizer. Here are the formulas from Unicorn:

Expectancy is how much you expect to earn from each trade for every dollar you risk. Opportunity is how often your strategy trades. You want to maximize the product of both.
Expectancy = (AW ◊ PW + AL ◊ PL) ⁄ |AL| (expected profit per dollar risked)
Expectancy score = Expectancy ◊ Opportunity
where AW = average winning trade (excluding maximum win) PW = probability of winning (PW = <wins> ⁄ NST


where <wins> is total wins excluding maximum win) AL = average losing trade (negative, excluding scratch losses) |AL| = absolute value of AL PL = probability of losing (PL = <non-scratch losses> ⁄ NST) Opportunity = NST ◊ 365 ⁄ studydays (opportunities to trade in a year) where
  • NST = <total trades> − <scratch trades> − 1
    In other words, NST = non-scratch trades during the period under test (a scratch trade loses commission+slippage or less) minus 1 (to exclude the maximum win).
  • studydays = calendar days of history being tested
Hope you guys enjoy and I am looking for feedback and improvement ideas.

Gordo


Last edited by gordo; April 29th, 2011 at 07:39 PM.
Reply With Quote
The following 2 users say Thank You to gordo for this post:
 
  #28 (permalink)
Elite Member
Tonganoxie, Kansas
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Mirus Futures/Zen-Fire
Favorite Futures: CL,6E
 
gordo's Avatar
 
Posts: 160 since Nov 2009
Thanks: 129 given, 399 received

WHICH IS BEST?

So I built this Expectancy Score optimization (prior post) and I get some values (see attached). Now I ask, which is best? You can sort each column and come up with a different answer for that question depending on which column you pick. But how do you combine all the columns together (becasuse they are all important) and come up with a 'BEST'?

Multiply them together? Calculate a Bayesian inference? Least squares? Pythogrium therom? Pick a number between 1 and 10?

Remember, inside an optimization, you can only look at one row at a time and give that row a value. Then the optimizer picks the top values for your consideration. I am not a mathmetician, but it just seems to me it can be done mathmatically. Anybody got any ideas?

Tell you what. You come up with the idea and I will put it in an optimization and share. Deal?

Help an old guy out here, would yah?

Attached Thumbnails
System Optimization Fitness Functions-ninjatrader-grid-4_29_2011-5_21-pm.png  
Attached Files
Register to download File Type: xls NinjaTrader Grid 4_29_2011 5_21 PM.xls (20.5 KB, 40 views)
Reply With Quote
The following 3 users say Thank You to gordo for this post:

Reply



futures io > > > > > System Optimization Fitness Functions

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Linda Bradford Raschke: Reading The Tape

Elite only

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

January

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Help with ADXVMA Optimization hunter548 NinjaTrader Programming 3 July 31st, 2011 04:49 PM
Expectancy custom fitness sam028 EasyLanguage Programming 13 September 29th, 2010 10:23 PM
Strategy Fitness Test Zach b NinjaTrader Programming 17 April 30th, 2010 12:04 AM
Music + neuronal functions max-td Traders Hideout 0 October 12th, 2009 10:04 AM


All times are GMT -4. The time now is 09:02 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-11 in 0.16 seconds with 20 queries on phoenix via your IP 54.83.122.227