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Unofficial NinjaTrader 8 wish list thread (NT8)!


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Unofficial NinjaTrader 8 wish list thread (NT8)!

  #231 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
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Swing Trader
 
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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

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Can you help answer these questions
from other members on NexusFi?
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  #232 (permalink)
 Luger 
Nashville, TN
 
Experience: Intermediate
Platform: NinjaTrader
Broker: IB
Trading: NQ ES
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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
Elite Membership required to download: SQN.cs
Elite Membership required to download: SQNmaxprofit.cs
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  #233 (permalink)
 
Silver Dragon's Avatar
 Silver Dragon 
Cincinnati Ohio
Legendary Master Data Manipulator
 
Experience: Intermediate
Platform: TastyWorks / NT
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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)
 Luger 
Nashville, TN
 
Experience: Intermediate
Platform: NinjaTrader
Broker: IB
Trading: NQ ES
Posts: 468 since Feb 2011
Thanks Given: 323
Thanks Received: 543


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)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,396 since Jun 2009
Thanks Given: 33,172
Thanks Received: 101,537


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:


When you are done

Or start a new NinjaTrader SQN thread.

Mike

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  #236 (permalink)
 Bosch777 
Ireland
 
Experience: Intermediate
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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)
 
Silver Dragon's Avatar
 Silver Dragon 
Cincinnati Ohio
Legendary Master Data Manipulator
 
Experience: Intermediate
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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.
Visit my NexusFi Trade Journal Reply With Quote
  #238 (permalink)
 
madLyfe's Avatar
 madLyfe 
Des Moines, Iowa
 
Experience: None
Platform: Ninja, TOS
Broker: AMP/CQG, TOS
Trading: CL, TF, GC
Posts: 1,641 since Feb 2011
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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)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,396 since Jun 2009
Thanks Given: 33,172
Thanks Received: 101,537

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.



Mike

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  #240 (permalink)
 
Silver Dragon's Avatar
 Silver Dragon 
Cincinnati Ohio
Legendary Master Data Manipulator
 
Experience: Intermediate
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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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