NexusFi - Search Results

Showing results 1 to 7 of 7
Search: Posts Made By: fluxsmith

Forum: NinjaTrader

April 4th, 2011, 01:25 AM

Replies: 27

System Optimization Fitness Functions

Views: 16,085

Posted By fluxsmith

I can't really justify any of this scientifically...

I can't really justify any of this scientifically (I'm not much of a mathametician), but I prefer my SQN performance function for choosing parameters. I then use expectancy for ranking my many...

Forum: NinjaTrader

October 6th, 2010, 12:12 AM

Replies: 27

System Optimization Fitness Functions

Views: 16,085

Posted By fluxsmith

They're based on the same principle, so they...

They're based on the same principle, so they would often return the same scoring order of parameters. Mine does try to make some adjustments for conservatism, and annualizes the score, which is why...

Forum: NinjaTrader

August 14th, 2010, 07:08 PM

Replies: 27

System Optimization Fitness Functions

Views: 16,085

Posted By fluxsmith

For annual profit I would suggest...

For annual profit I would suggest systemPerformance.AllTrades.TradesPerformance.TradesPerDay * 365 * systemPerformance.AllTrades.TradesPerformance.Currency.CumProfit /...

Forum: NinjaTrader

August 14th, 2010, 02:19 AM

Replies: 27

System Optimization Fitness Functions

Views: 16,085

Posted By fluxsmith

Experimentally I found .20 wasn't high enough, I...

Experimentally I found .20 wasn't high enough, I settled on .382 as being representative of one standard deviation. What I'm doing there is imputing a minimum variance I'll accept for use in the...

Forum: NinjaTrader

August 13th, 2010, 07:47 PM

Replies: 27

System Optimization Fitness Functions

Views: 16,085

Posted By fluxsmith

I'm still trying to find the ideal fitness...

I'm still trying to find the ideal fitness function. Net Profit / Drawdown as suggested here previously doesn't do it for me, as that ignores consistency and unrealized risk. The attached is the best...

Forum: NinjaTrader

August 9th, 2010, 10:19 AM

Replies: 27

System Optimization Fitness Functions

Views: 16,085

Posted By fluxsmith

Thank you for responding. In my function I found...

Thank you for responding. In my function I found if I don't impute some variance it greatly favored parameters that claim little or no variance (or drawdown), but only take a couple of ticks per...

Forum: NinjaTrader

August 8th, 2010, 06:33 PM

Replies: 27

System Optimization Fitness Functions

Views: 16,085

Posted By fluxsmith

System Optimization Fitness Functions

My hope in starting this thread is that others will share their preferred fitness functions, that together we may come up with a better function. I know Big Mike has one I've never seen posted...

Showing results 1 to 7 of 7

What unexpected challenges have you encountered while trading on a "Funded Trader" platform?

Limited trading instruments
High platform usage fees
Lack of support or mentorship
Unrealistic rules and requirements
No significant challenges
Something else (discuss in thread)

View Results Discuss Poll