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NinjaTrader Genetic Optimizer


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NinjaTrader Genetic Optimizer

 
tortexal
Panama!
 
Posts: 44 since Jun 2009
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Piersh, is there anyway you can add an option to specify minimum # of trades so that it only returns the best results of values that trade more than the min? this has helped me in the past to avoid curve fitting.


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piersh
California
 
Posts: 87 since Jun 2009
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tortexal View Post
Piersh, is there anyway you can add an option to specify minimum # of trades so that it only returns the best results of values that trade more than the min?

Unfortunately, NT's optimization API doesn't provide this information (at least, I couldn't find a way to retrieve it).

In order to do what you want, you'll have to write a custom OptimizationType. I'd recommend doing this since it gives you much greater control over the results.

- take a look in your "My Documents\NinjaTrader 6.5\bin\Custom\Type" directory. you'll see the classes for the various built-in optimization types (eg. 'max. avg. profit' is in @MaxAvgProfit.cs.
- make a copy of one of these files, change the file name, the class name (to match) and the 'DisplayName' attribute, and have at it!

I have been using a custom method that limits the min/max avg. trades per day (it returns double.NegativeInifinity when there are too many or too few trades), and tries to maximize the expectancy per trade while minimizing the draw-down.

you can get the average number of trades per day like this:
 
Code
systemPerformance.AllTrades.Count / (Strategy.BackTestTo - Strategy.BackTestFrom).TotalDays

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kekkis
Norway
 
Posts: 6 since Jun 2009
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I tried to find crossover method in your GA optimizer but could'nt find. I think it's very important function to find solutions fast. I just saw reproduce. but there is no method which crossovers parents values.
Maybe I am just blind.


regards.

 
piersh
California
 
Posts: 87 since Jun 2009
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kekkis View Post
I tried to find crossover method in your GA optimizer but could'nt find. I think it's very important function to find solutions fast. I just saw reproduce. but there is no method which crossovers parents values.
Maybe I am just blind.


regards.

is this the bit you mean?

 
Code
// Take an attribute from parents
DNA parent = (_rand.Next (100) < 50) ? parentA : parentB;
rgParams [iParam] = parent.GetParam (iParam);

 
kekkis
Norway
 
Posts: 6 since Jun 2009
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Thanks Received: 1

For me this looks like, it just takes parents values, but not make crossover for values. I have to read your code again.

 
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
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piersh,

Fantastic work. I'm just using it today for the first time as I've been focused on discretionary stuff, but I wanted to do a bit of optimization today on my rules set.

I have a request: could you make the GO spit out the variable name and the most optimized setting, at the end of the run (output dialog). ie:

Optimized results:
(Parameter, value)
JMA, 14
ZL, 28
Stop, 8
Target, 8

etc.

Mike

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 CRCTrader 
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piersh View Post
Hi All,

I've created a new Genetic Strategy Optimizer based loosely on Peter's GAOptimizer.


Installation Instructions:
- back up the file ""My Documents\NinjaTrader 6.5\bin\Custom\Strategy\@Strategy.cs" first (call it @Strategy.cs.bak)
- copy the enclosed .cs files to your "My Documents\NinjaTrader 6.5\bin\Custom\Strategy" directory.
- edit an indicator or strategy and build it (F5).
- in your strategy analyzer optimize dialog choose "PH Genetic" as the Optimizer.
- you can select whichever "Optimize on..." metric you like.
- when the "PH Genetic Options" dialog appears, hover over the controls to get a short description of what each option does.

like most GA optimizers it does like to find a local maximum, although it'll attempt to kick out if it notices stability.

let me know if you have any problems/questions. i'll write some documentation soon, honest ;-)


If possible, please detail what you mean by "edit an indicator or strategy and build it (F5)"

Thank-you!

 
piersh
California
 
Posts: 87 since Jun 2009
Thanks Given: 5
Thanks Received: 120


CRCTrader View Post
If possible, please detail what you mean by "edit an indicator or strategy and build it (F5)"

Thank-you!

certainly, i have updated the original post at the top of this thread to include more detail on this step.

 
piersh
California
 
Posts: 87 since Jun 2009
Thanks Given: 5
Thanks Received: 120


Big Mike View Post
piersh,

Fantastic work. I'm just using it today for the first time as I've been focused on discretionary stuff, but I wanted to do a bit of optimization today on my rules set.

I have a request: could you make the GO spit out the variable name and the most optimized setting, at the end of the run (output dialog). ie:

Optimized results:
(Parameter, value)
JMA, 14
ZL, 28
Stop, 8
Target, 8

etc.

Mike

sure. until then, though. you can select the best performing result in the strategy analyzer and see the parameter in the grid (see attachment).

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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: 50,398 since Jun 2009
Thanks Given: 33,173
Thanks Received: 101,537



piersh View Post
sure. until then, though. you can select the best performing result in the strategy analyzer and see the parameter in the grid (see attachment).

Yeah I know, but with a lot of parms it gets real messy real fast. If you can add it great, if not I can live.

Mike

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Last Updated on December 16, 2010


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