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Does anybody know how to pull information from each trade w/in an optimizer run? I want to calculate the stdev of the trades, and to do that I need to get information from each trade. This is possible in NinjaTrader because of the way orders are saved. But in Multicharts, I don't know how call the information w/in MC.
Additionally, if anyone can share a custom fitness criteria that measures (or is a good proxy for) the volatility of individual trades w/in a run, then I would be very grateful!
I think it will require code change from MultiCharts to make it work, or for them to just build it in to MultiCharts (they can tweak it a bit and call it something else).
Use the MultiCharts -> Help -> Feedback menu option and ask them to implement it, linking to this thread. I will do the same, as I find the built-in optimizer types very limiting.
I found a work around here. (The code and accompanying TradesArray are at the bottom of the page). But with this, you'll have to brute force the optimization runs into excel. I like excel, but I will definitely send this along to tssuport.
I watched your video on creating a NT strategy. I couldn't even think as fast as you were typing! What optimizer function do you use? Where can I go to get meta ideas on how to approach optimization?
I saw that post, too. Unfortunately, I'm not sure how to make it work either. Maybe you'll spear-head this movement? And post the NinjaTrader C# code to the MC forum, and challenge them to implement SQN for MultiCharts, if they can hehe, maybe another person at the community with more experience can do it, too.