As a Quantative Analyst/strategy Analyse i want to research systems, data series and settings over a portfolio of instruments - and take the least amount of time to do it and to be able to establish a set of tests that are significant and not run the discarded set in the future.
To do this:
#1 I want to save the fit settings from the optimiser - as a numeric code or as a text description...
#2 ideally these should be auto saved and exported at the end of the run... and not have the manual task of having to select and manually save - so to be able to select a checkbox and batch save these to a subfolder with a name and incremental numeric to give unique file names is the easiest way
#3 I want to group this settings/templates and save them -subfolder for ease - this would be associated with the strategy folder
#4 later i want to run a strategy test/optimisation of these "fit settings" - by giving the strategy analyser the list of templates to load and run against a list of instruments and data series and optimise - then study the results
Therefore focusing the efforts on the subset of approved settings and not wasting time optimising parameters that fall outside this set. = the fastest possible and most useful type of optimisation.... as it is the result of a pyramid of time and effort and represent the top....the part that is important...
I tried this with NT7 - what i found was that i could load the list and walkthrough but NT7 then copied over the values from the optimizer parameters - which had not changed so therefore making the test invalid...
In NT8 - if would be great if it only set the parameters which changed... which were incremented.... and did overwrite the values of parameters with values out of scope - this allowing back testing of sets of settings - for example by enumerated a folder and load the settings and setting the parameters on the configuration/initialise settings event state.
Then you got something really valuable...
Currently you can do this workaround in NT7:
So then you have to write over the settings again on the first bar - or on start-up, the issue occurs with adding data series if this is not done this way - on the init event
So for NT8 the thing required from NT is:
1. UI Changes to allow bulk saving of the settings to a target subfolder with a name
2. We need to control what gets set - save time in the optimiser by not setting values that are not going to change e.g. Param 1 - 1:1:1 should not be changed-. Only change the params that are marked for optimisation - e.g. .param 2 - 1:100:1 - then this will achieve a window to load settings on the fly e.g.
A: Param Setting ID in 1:100:1 - this numeric field is based on the enumerated list of templates.... it could be split from the file name stored on disk
1:Strategy1.xml
2:Strategy1.xml
3:Strategy1.xml
For each optimizer iteration of Param Setting ID - strategy base class will load the associated setting - mapped to the ID - the friendly name will also load in a parameter “template” for ease of so then the template settings are loaded one by one
B: Another option is to allow to optimise a list of string....
public string[] templates
So to achieve this on first instantiate of the strategy use the class defaults to begin with -
The optimiser should then look at the user set list of parameters that will be optimised...
Allowing load of Secondary Data series at the appropriate state
It should load and work from the list of parameters that will change - and then set them iteratively - it should not iterate through the whole property list of category "Optimiser NinjaTraderProperty" and so should NOT set parameters not market for change
- lightening the load/fast execution than iterating through all params for a strategy - not setting what is not getting optimiser set and allow a more extensible pattern and a huge benefit as you then optimise list of templates - via a numeric...
I will probably need to supply some screenshots of this process as my writing is probably not good :-)
To do this:
#1 I want to save the fit settings from the optimiser - as a numeric code or as a text description...
#2 ideally these should be auto saved and exported at the end of the run... and not have the manual task of having to select and manually save - so to be able to select a checkbox and batch save these to a subfolder with a name and incremental numeric to give unique file names is the easiest way
#3 I want to group this settings/templates and save them -subfolder for ease - this would be associated with the strategy folder
#4 later i want to run a strategy test/optimisation of these "fit settings" - by giving the strategy analyser the list of templates to load and run against a list of instruments and data series and optimise - then study the results
Therefore focusing the efforts on the subset of approved settings and not wasting time optimising parameters that fall outside this set. = the fastest possible and most useful type of optimisation.... as it is the result of a pyramid of time and effort and represent the top....the part that is important...
I tried this with NT7 - what i found was that i could load the list and walkthrough but NT7 then copied over the values from the optimizer parameters - which had not changed so therefore making the test invalid...
In NT8 - if would be great if it only set the parameters which changed... which were incremented.... and did overwrite the values of parameters with values out of scope - this allowing back testing of sets of settings - for example by enumerated a folder and load the settings and setting the parameters on the configuration/initialise settings event state.
Then you got something really valuable...
Currently you can do this workaround in NT7:
So then you have to write over the settings again on the first bar - or on start-up, the issue occurs with adding data series if this is not done this way - on the init event
So for NT8 the thing required from NT is:
1. UI Changes to allow bulk saving of the settings to a target subfolder with a name
2. We need to control what gets set - save time in the optimiser by not setting values that are not going to change e.g. Param 1 - 1:1:1 should not be changed-. Only change the params that are marked for optimisation - e.g. .param 2 - 1:100:1 - then this will achieve a window to load settings on the fly e.g.
A: Param Setting ID in 1:100:1 - this numeric field is based on the enumerated list of templates.... it could be split from the file name stored on disk
1:Strategy1.xml
2:Strategy1.xml
3:Strategy1.xml
For each optimizer iteration of Param Setting ID - strategy base class will load the associated setting - mapped to the ID - the friendly name will also load in a parameter “template” for ease of so then the template settings are loaded one by one
B: Another option is to allow to optimise a list of string....
public string[] templates
So to achieve this on first instantiate of the strategy use the class defaults to begin with -
The optimiser should then look at the user set list of parameters that will be optimised...
Allowing load of Secondary Data series at the appropriate state
It should load and work from the list of parameters that will change - and then set them iteratively - it should not iterate through the whole property list of category "Optimiser NinjaTraderProperty" and so should NOT set parameters not market for change
- lightening the load/fast execution than iterating through all params for a strategy - not setting what is not getting optimiser set and allow a more extensible pattern and a huge benefit as you then optimise list of templates - via a numeric...
I will probably need to supply some screenshots of this process as my writing is probably not good :-)
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