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