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Unofficial NinjaTrader 8 wish list thread (NT8)!
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Unofficial NinjaTrader 8 wish list thread (NT8)!

  #231 (permalink)
Site Administrator
Manta, Ecuador
 
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Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
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frostengine View Post
Couldn't you already build this? I have a custom "type" that I optimize against today, seems doable.

If you know of a way, please share. You would need to look at the entire backtest, say 10,000 trades or whatever, and for each optimizer run it would compare the equity curve and a perfect linear plot vs the actual plot, and measure the standard deviation at every data point (10,000 trades).

I'm not a math guy, but that is how I see it in my mind.

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.

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  #232 (permalink)
Fiddler
Nashville, TN
 
Futures Experience: Intermediate
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Big Mike View Post
If you know of a way, please share. ...measure the standard deviation at every data point (10,000 trades).
Mike

@Big Mike
This can be accomplished by optimizing for a reduction in the standard deviation of your average trade. The SQN method does this. I have attached it. By doing this method, you sometimes don't get the optimization you would expect. Though it does favor accuracy in a system, which I do like.

I have included a variation that I use. It takes the SQN result and multiplies it against max profit to get a balance between profitability and stability.

To install:
Put files here
NinjaTrader7\bin\custom\type
Then open the Ninja Script editor and compile any one of your indicators or strategies again. This will complete the install.

Enjoy!

Attached Files
Register to download File Type: cs SQN.cs (3.3 KB, 24 views)
Register to download File Type: cs SQNmaxprofit.cs (3.5 KB, 26 views)
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The following 6 users say Thank You to Luger for this post:
 
  #233 (permalink)
Elite Member
Cincinnati Ohio
 
Futures Experience: Intermediate
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Posts: 1,597 since Feb 2011
Thanks: 3,854 given, 3,317 received



Luger View Post
@Big Mike
This can be accomplished by optimizing for a reduction in the standard deviation of your average trade. The SQN method does this. I have attached it. By doing this method, you sometimes don't get the optimization you would expect. Though it does favor accuracy in a system, which I do like.

I have included a variation that I use. It takes the SQN result and multiplies it against max profit to get a balance between profitability and stability.

To install:
Put files here
NinjaTrader7\bin\custom\type
Then open the Ninja Script editor and compile any one of your indicators or strategies again. This will complete the install.

Enjoy!

I use SQN as well. The results are better than the standard max profit etc, which comes with the optimizer.

SD

nosce te ipsum

You make your own opportunities in life.
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  #234 (permalink)
Fiddler
Nashville, TN
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: IB
Favorite Futures: NQ ES
 
Posts: 468 since Feb 2011
Thanks: 323 given, 542 received


Silver Dragon View Post
I use SQN as well. The results are better than the standard max profit etc, which comes with the optimizer.

SD

Yeah, but there is some danger because it is trying to reduce winning outliers as much as losing outliers. Ooohhh, that just gave me an idea. Reduce the standard deviation of only the losing trades.

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  #235 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
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Posts: 46,011 since Jun 2009
Thanks: 29,169 given, 82,197 received


Luger View Post
Yeah, but there is some danger because it is trying to reduce winning outliers as much as losing outliers. Ooohhh, that just gave me an idea. Reduce the standard deviation of only the losing trades.

Please post here:
https://futures.io/psychology-money-management/453-van-tharps-system-quality-number-van-k-tharp-system-quality-number.html

When you are done

Or start a new NinjaTrader SQN thread.

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
 
  #236 (permalink)
Elite Member
Ireland
 
Futures Experience: Intermediate
Platform: Ninja Trader
Favorite Futures: CL GC FDAX
 
Posts: 118 since Jul 2012
Thanks: 85 given, 48 received

NT8 2013

How about an ordinary pen under the drawing tools menu so we can draw our own shapes and scribbles etc...

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  #237 (permalink)
Elite Member
Cincinnati Ohio
 
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Posts: 1,597 since Feb 2011
Thanks: 3,854 given, 3,317 received

Status Bar for Backtest and Optimize

Please move the status bar for the Backtest and Optimize functions to the Strategy Analyzer.

SD

nosce te ipsum

You make your own opportunities in life.
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  #238 (permalink)
Elite Member
Des Moines, Iowa
 
Futures Experience: None
Platform: Ninja, TOS
Broker/Data: AMP/CQG, TOS
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madLyfe's Avatar
 
Posts: 1,639 since Feb 2011
Thanks: 9,215 given, 1,008 received

i think it would be cool to have a workspace manager/editor.. it would be a window that you opened and made changes to workspaces w/o having to flip between them or load ones that are closed.. all of the workspaces could be displayed in a tree view/list view type thing and you could drag charts and windows from one to another workspace, copy windows to other workspaces, add/delete windows in them etc.. you get the point..

dont believe anything you hear and only half of what you see

¯\_(ツ)_/¯

(╯°□°)╯︵ ┻━┻
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  #239 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
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Posts: 46,011 since Jun 2009
Thanks: 29,169 given, 82,197 received

It would appear that the backtester does not cache the Bars DataSeries when you use the Add() method within an indicator called by the strategy. Would speed things up considerably if it did and you use this functionality.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


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
 
  #240 (permalink)
Elite Member
Cincinnati Ohio
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Futures Broker
Favorite Futures: AUD
 
Silver Dragon's Avatar
 
Posts: 1,597 since Feb 2011
Thanks: 3,854 given, 3,317 received


When a strategy fails to start it gives the error description on the log tab. In addition to the error description, it would be nice if it would display what line number the error occured in. This would help with debugging.

SD

nosce te ipsum

You make your own opportunities in life.
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