Possible to code this strategy in NT?

[Liujs]

Hi,

I am new to NT and would like to run the following strategy.

For each instrument from an instrument list,
For every 250 days,
Optimize the parameters for an indicator, e.g. SMA cross over
based on the last 250 days of data
Trade for the next 250 days based on the optimized set of
parameters
Store the daily PnL
Next 250 days
Next instrument
Load Daily PnL and Position (i.e. whether I am long or short)

Is something like this possible? Or supported? My issue is that i have 20 years of data for 80 instruments. If i do not code this up, I will have to do it manually for 1600 times.

[Liujs]

I am not asking for some body to code this up for me. I know the NT support staff has constraints/restraints in this forum. I just need to know what are some of the NT methods or functions that I can use, i.e. some pointers in the right direction.

[zweistein]

everything can be done in c#.also what you want.

i would use a windows macro to automate optimizing.mabe a custom c# program to collect the data and prepare it. then a nt strategy to run your algo. all together orchestrated by the windows macro.

[scjohn]

Sounds like you want a Walk Forward Optimization.

In the Control Panel, click on Help. Once the NT Help Guide window pops up, click on the Index tab and in the search box enter: Walk Forward Optimize .

Note: it will take a long time to run this.

[Liujs]

thanks zweistein and scjohn. Yes I am trying to automate the walk forward optimization process. Thanks for the advice.