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Setting optimization fitness value within the strategy (NT7)
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Setting optimization fitness value within the strategy (NT7)

  #1 (permalink)
 Vendor: advancedindicators.com 
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Setting optimization fitness value within the strategy (NT7)

Does anyone happen to know some way to set optimization fitness value within the strategy during optimization rather than in a separate class?

As you know, standard way forces you to use a separate class - derived from OptimizationType and implement/override GetPerformanceValue method - which has access only to post-facto stats. With the ability to set the fitness value within the strategy, one would be able to use GO in wide range of uses - e.g.:
1) use any custom computed measurement based on data available only within the strategy
2) use stats that can be computed only while strategy is running and not post-facto
3) perform optimization driven by criteria not based on executed trades, like pivot finding algo, DSP filter design, etc
4) many, many more!

Is there a way to do it? Thanks in advance.

P.S. This is also in my NT8 wish list:
https://futures.io/ninjatrader/13894-unofficial-ninjatrader-8-wish-list-thread-ninjatrader-8-a-4.html#post166400
Quote: Optimization: Instead of using optimization types, NT8 would introduce read-write Fitness property within both strategies and indicators, and let traders update it in OnBarUpdate. There's simply no reason to use completely separate class for what is just passing of one single value. This would simplify programming and give traders more flexibility.


Last edited by AdvancedIndicators; January 1st, 2013 at 09:20 PM. Reason: typo
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  #2 (permalink)
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Not a direct answer, but a different way of thinking and evaluating in real-time bar by bar:

https://futures.io/elite-automated-ninjatrader-trading/22389-artificial-bee-colony-abc-algorithm.html

https://futures.io/elite-automated-trading/23842-support-vector-machines.html

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Thanks Mike. Although slightly off-topic, it's good that you brought in continuous optimization, for IMHO, some non-continuous one-time optimization needs to be done anyway - but this time it would be meta optimization: like detecting through optimization which system parameters should be optimized only once (perhaps bar period, contract, currency pair?) and which parameters should be left to be continuously optimized (perhaps MA period, SL, TP?). So, at least in my view, classic optimization is needed either way.

And that brings me to additional point for this thread: this meta optimization is another thing affected by this missing functionality I created this thread for.

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dobuye View Post
Thanks Mike. Although slightly off-topic, it's good that you brought in continuous optimization, for IMHO, some non-continuous one-time optimization needs to be done anyway - but this time it would be meta optimization: like detecting through optimization which system parameters should be optimized only once (perhaps bar period, contract, currency pair?) and which parameters should be left to be continuously optimized (perhaps MA period, SL, TP?). So, at least in my view, classic optimization is needed either way.

And that brings me to additional point for this thread: this meta optimization is another thing affected by this missing functionality I created this thread for.

Yes I understand, I originally tried to do this about 4 years ago with NT. Good luck

Mike

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'technically possible'


dobuye View Post
Does anyone happen to know some way to set optimization fitness value within the strategy during optimization rather then in a separate class?

Have you tried using MS Visual Studio to step-debug a NinjaTrader Gentic Optimization process? I did this for the first time today today, and though I wasn't looking specifically for what you are, it's quite revealing how the NT core executes the optimizer... you might even get lucky and be able to hack it before NinjaTrader implements your idea in a future release : )

In general I really hope they provide they provide a way to optimize within a strategy... it seems nobody is doing this!


cheers -Dave

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d416 View Post
Have you tried using MS Visual Studio to step-debug a NinjaTrader Gentic Optimization process? I did this for the first time today today, and though I wasn't looking specifically for what you are, it's quite revealing how the NT core executes the optimizer... you might even get lucky and be able to hack it before NinjaTrader implements your idea in a future release : )

In general I really hope they provide they provide a way to optimize within a strategy... it seems nobody is doing this!


cheers -Dave

Hi Dave, no I haven't and wouldn't recommend that even if possible.

Now, the following appears to be an unsupported workaround:
http://www.ninjatrader.com/support/forum/showthread.php?t=53440
It does work and it's not a hack - which is good news!

P.S. But it shows again how unnecessary that class is, hence NT8 suggestion still stands.

Enjoy

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