max. avg. profit ratio

[ErikHR]

[FONT=Courier New][COLOR=black]public override double GetPerformanceValue(SystemPerformance systemPerformance) {I am trying to create a new OptimizationType I looked at the SQN one that has been posted as an example I was wondering if someone could take a look at mine and see if it looks correct. It is supposed to be a ratio of average profit percent divided by its standard deviation. The code is: 


[FONT=Courier New][COLOR=black]double TotalVariance = 0;[/COLOR][/FONT]
[FONT=Courier New][COLOR=black]double StdDev = 0;[/COLOR][/FONT]
[FONT=Courier New][COLOR=black]int TotalTrades = 0;[/COLOR][/FONT]
[FONT=Courier New][COLOR=black]foreach (Trade trade in systemPerformance.AllTrades) {[/COLOR][/FONT]
[FONT=Courier New][COLOR=black]TotalVariance += Math.Pow((trade.ProfitPercent * trade.Quantity) - systemPerformance.AllTrades.TradesPerformance.Percent.AvgProfit, 2);[/COLOR][/FONT]
[FONT=Courier New][COLOR=black]TotalTrades += trade.Quantity;[/COLOR][/FONT]
[FONT=Courier New][COLOR=black]}[/COLOR][/FONT]
[FONT=Courier New][COLOR=black]if ((TotalVariance != 0) && (TotalTrades != 0)) StdDev = TotalVariance / TotalTrades;[/COLOR][/FONT]
[FONT=Courier New][COLOR=black]return systemPerformance.AllTrades.TradesPerformance.Percent.AvgProfit / StdDev;[/COLOR][/FONT]
[FONT=Courier New][COLOR=black]}[/COLOR][/FONT]

[/COLOR][/FONT]
Thanks,
Erik

[NinjaTrader_RyanM1]

Hello ErikHR,

Unfortunatley this is beyond our scope of support but hopefully you can get some input from other users who have tried similar.

If you've not checked already, you can see the file used for default optimization:
My Documents\<NinjaTrader>\bin\Custom\Type\@DefaultOp timizationMethod.cs

[ErikHR]

I am acutally just looking for some otheer users to look at the standard deviation calculation to see if it looks correct, so if anyone gets time to look at it, I would greatly apreciate it.

Thanks,
Erik