Has anyone run some backtests/optimizations in the Strategy Analyzer

[NinjaTrader_JoshP]

Correct. As a trade finishes the performance will be aggregated into that CumProfit as realized PnL and subtracted from GetProfitLoss's unrealized PnL.

[trend]

Got it,
Performance.AllTrades.TradesPerformance.Currency.C umProfit +
Position.GetProfitLoss(Close[0], PerformanceUnit.Currency)

for M2M on each bar,

Thanks Josh,

[piersh]

I have just released an update to my GO that works in NT7. It supports optimizing bools & enums.

You can find it over on Big Mike's forum.

Some things I'd like to see in a future release of NT7:
- allow an optimizer to find out if it's in 'walk-forward' mode.
- copy bool & enum parameters from the OptimizationMethod.Parameters collection into the strategy. i've used hacks in my GO, but it wouldn't take much more code in SetPropertyValue...
- if 'Optimize()' returns before calling 'WaitForIterationsCompleted (true);', or throws an Exception, assume that it has been called. don't leave the app in a broken state.

[tradejockey]

64bit Strat Analyzer works great performance wise... 32bit not so hot. I wouldnt use 32bit for anything (especially SA) but zenfire connection (and running the script daily). For some inexplicable reason 32bit version of SA takes longer. What I dont understand is that my pc has the horsepower but it is not being utilized.. I checked the CPU utilization/ Memory / Disk IO. They all indicate very low levels of activity.. perhaps one single thread is chugging away in a sequential manner in 32bit version.

I believe zenfire is a marketing brand for some other company's api. Dont remember what that company's name is (starts with an "R") Any idea as to when a 64bit version of it will be implemented (by whom I dont know).

Business functionality wise:

Ofcourse, my chief complaint with SA is that BackTester is missing some trades that live sim picks up. So backtesting is not entirely accurate.

Secondary complaint is Minute vs Second timeframe. Say you use 180 minute interval for example.. results will be nice. But multiply that my 60 and you get 10800 seconds.. results will be horrible even though it is the same exact interval.

MonteCarlo seems to work more like an optimizer than a true monte carlo engine. In 64bit, I was able to do 500,000 sims while NT7's memory foot print grew to 7 gb in the ram. Doesnt let go of the memory after it completes. In 32bit version, If NT7's memory size reaches in the 2.5 gig range, Monte Carlo freezes.

Since MC is dependent on trades list, what should be taken as more accurate? MC run off of
1. list comprising unabridged (non back adjusted) data for longer time period such as 2 years or
2. list for a quarter's worth of data
3. list for two or more quarters worth of data (start date is say second (globex) /third (eurex) thursday of previous quarter(s) )

Some key metrics such as Sterling ratio, Sortino ratio, Calmar ratio etc are not provided. I do not know if this is an oversight or a purposeful omission.
There are a few other ratios that I cant recall at the moment. Also, Drawdown on initial capital is missing. Max drawdown is useful but it doesnt capture the accurate risk to your initial capital outlay..

I suspect that Daylight Savings time is not being considered between Europe and US. For a fortnight in march and perhaps in fall, there is a one hour gap and start datetime stamp is somehow in sync when it shouldnt be.. ie 2am in europe will be 3am est for a fortnight or so until europe catches up. But datetime stamp on the tick will still be 2 am on historical tick data. In reality there wont be any data until 3 am.

[NinjaTrader_JoshP]

piersh,

Thank you for the suggestions.

tradejockey,

Backtesting is and always has been fundamentally different than real-time. This is why people recommend taking backtest results with a grain of salt and to make sure that proper forward testing is also done.

Minutes vs seconds: Different data sources can result in different results. Minute data comes from minute bars. Seconds data comes from tick data.

Thank you for your MC suggestions.

Thank you for your suggestion on additional analytics.

Timestamp of data comes from your data provider on historical bars. In real-time, depending on the data provider, it may be timestamped by them or by your local machine on receiving the ticks.