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Optimization
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Optimization

  #1 (permalink)
Elite Member
Menlo Park, CA
 
Futures Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: CL
 
Posts: 3 since Mar 2014
Thanks: 0 given, 1 received

Optimization

Hi,
Am trying to optimize an NT strategy with multiple timeframes. The strategy completes optimization, when the number of inputs to be optimized is less than 10.
If 15 or more inputs are set for optimization, the optimization is running for 3-4 days without completion. The remaining time display keep flipping between 3 different time Hi,
Am trying to optimize an NT strategy with multiple timeframes. The strategy completes optimization, when the number of inputs to be optimized is less than 10.
If 15 or more inputs are set for optimization, the optimization is running for 3-4 days without completion. The remaining time display keep flipping between 3 different time displays ( what do the 3 different times here mean, are they showing time remaining for 3 different threads ? ). And the time display also resets when the values are approaching 0 ( may be the remainder time display is in 24 hrs format ). The green band on the progress bar also has no relationship to the Elapsed time and Remainder time.

Any thoughts on
- speeding up optimization ( have switched off the GUI updates and print functions as suggested by NT )?
- read in another thread, that deleting the db/cache directory, has an impact on optimization, is this correct?
- How to read the remainder time display?

Regards

RD

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  #2 (permalink)
Elite Member
Omer עומר / Israel י
 
Futures Experience: Master
Platform: NinjaTrader, Proprietary,
Broker/Data: Ninjabrokerage/IQfeed + Synthetic datafeed
Favorite Futures: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
 
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Posts: 2,477 since Sep 2013
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drdesilva View Post
Hi,
Am trying to optimize an NT strategy with multiple timeframes. The strategy completes optimization, when the number of inputs to be optimized is less than 10.
If 15 or more inputs are set for optimization, the optimization is running for 3-4 days without completion. The remaining time display keep flipping between 3 different time Hi,
Am trying to optimize an NT strategy with multiple timeframes. The strategy completes optimization, when the number of inputs to be optimized is less than 10.
If 15 or more inputs are set for optimization, the optimization is running for 3-4 days without completion. The remaining time display keep flipping between 3 different time displays ( what do the 3 different times here mean, are they showing time remaining for 3 different threads ? ). And the time display also resets when the values are approaching 0 ( may be the remainder time display is in 24 hrs format ). The green band on the progress bar also has no relationship to the Elapsed time and Remainder time.

Any thoughts on
- speeding up optimization ( have switched off the GUI updates and print functions as suggested by NT )?
- read in another thread, that deleting the db/cache directory, has an impact on optimization, is this correct?
- How to read the remainder time display?

Regards

RD

could you shed a bit more of detail on what exactly you are trying to optimize ?

i have tackled the problem from a different angle

i had a working trading system that was slightly positive
the trade setups had a very specific pattern
and the situation of a 'fire', allowed me to capture concrete metrics...

i used a neural network to recognize the best trades
and stopped bothering on optimizing the parameters
i fed, previous trades with their outcome as a learning into the NN

i made abstraction on a few details, the last decimals
and the neural network fixed the bigger picture
it allowed me for example to improve as follows :


rleplae
Without AI/NN :
MFE : 13
MAE : 6
Total cum ticks : + 119
Total trades : 41 (29 win / 12 loosers)

With AI/NN :
MFE : 14
MAE : 5
Total cum ticks : + 154
Total trades ; 31 (24 win / 7 losers)

Objectives achieved :
improve MFE : OK
decrease MAE : OK
improve cum ticks : OK
decrease number of trades : OK
increase overall profitability : OK

maybe that is a another angle to look at your optimization problem ?

feel free to take a look at my ATM scoring method with neural networks thread and to post comments/challenge
the goal of my thread was to create a generic boiler plate/discussion
not only limited to the ATM method
happy to talk to you and share

a chart says more than a million words.

without the neural network :
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with the neural network :
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