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Custom optimizer type to eliminate 0 MAE trades in NinjaTrader
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Custom optimizer type to eliminate 0 MAE trades in NinjaTrader

  #1 (permalink)
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Custom optimizer type to eliminate 0 MAE trades in NinjaTrader

Hi,

I am searching for a custom fitness that I can enter that will eliminate 0 MAE trades (trades whose total drawdown is equal to commission+slippage only).

Does anyone have suggestions? I have not programmed in NinjaScript in nearly 3 years, but I am having a problem with MultiCharts that is making me consider porting a strategy to NT for testing. But I would need this custom fitness first.

Mike

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  #2 (permalink)
Elite Member
Atkinson, NH USA
 
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Big Mike View Post
Hi,

I am searching for a custom fitness that I can enter that will eliminate 0 MAE trades (trades whose total drawdown is equal to commission+slippage only).

Mike

Mike,

I am not sure I understand what you mean by a "Custom Fitness"? It seems like this is something that needs to be put into LOM, but I don't understand what you are trying to accomplish. Can you give a more detailed explanation?

Nil per os
-NJAMC [Generic Programmer]

LOM WIKI: NT-Local-Order-Manager-LOM-Guide
Artificial Bee Colony Optimization
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  #3 (permalink)
Site Administrator
Manta, Ecuador
 
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Posts: 46,240 since Jun 2009
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A custom optimizer type (net profit, profit factor)

Sent from my DROID RAZR using Tapatalk 2

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
 
  #4 (permalink)
Elite Member
Atkinson, NH USA
 
Futures Experience: Intermediate
Platform: NinjaTrader 8/TensorFlow
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Favorite Futures: Futures, CL, ES, ZB
 
NJAMC's Avatar
 
Posts: 1,925 since Dec 2010
Thanks: 2,962 given, 2,294 received


Big Mike View Post
A custom optimizer type (net profit, profit factor)

Still not very detailed due to your cell phone reply, but I am assuming this is not really and order entry or approach but more of an Optimization or backtesting feature?

Nil per os
-NJAMC [Generic Programmer]

LOM WIKI: NT-Local-Order-Manager-LOM-Guide
Artificial Bee Colony Optimization
Reply With Quote
 
  #5 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
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Posts: 46,240 since Jun 2009
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NJAMC View Post
Still not very detailed due to your cell phone reply, but I am assuming this is not really and order entry or approach but more of an Optimization or backtesting feature?

Yes, it is solely an optimizer type function. It has been years since I wrote a custom optimizer type in NT, so I cannot recall if this is possible and was looking for help.

I need an optimizer type that will heavily 'under score' (rate badly) any trades that have 0 MAE.

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
 
  #6 (permalink)
Elite Member
Atkinson, NH USA
 
Futures Experience: Intermediate
Platform: NinjaTrader 8/TensorFlow
Broker/Data: NinjaTrader Brokerage
Favorite Futures: Futures, CL, ES, ZB
 
NJAMC's Avatar
 
Posts: 1,925 since Dec 2010
Thanks: 2,962 given, 2,294 received


Big Mike View Post
Yes, it is solely an optimizer type function. It has been years since I wrote a custom optimizer type in NT, so I cannot recall if this is possible and was looking for help.

I need an optimizer type that will heavily 'under score' (rate badly) any trades that have 0 MAE.

Mike

Humm... Sorry, I can't help much here at the moment. Don't know much about that side. At some point, I want to add more stats to LOM, but I don't know of a way to run tick data (with 2nd level) data though the optimizers.

Just a question, are you trying to penalize the 0 MAE because you think it is a lucky entry?

Nil per os
-NJAMC [Generic Programmer]

LOM WIKI: NT-Local-Order-Manager-LOM-Guide
Artificial Bee Colony Optimization
Reply With Quote
 
  #7 (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: 46,240 since Jun 2009
Thanks: 29,353 given, 83,234 received


NJAMC View Post
Just a question, are you trying to penalize the 0 MAE because you think it is a lucky entry?

Yes, and I want it to be included that way in the optimizer run, so I don't have to manually do it in Excel hundreds of times.

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

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