Optimizer Suggestions

[NinjaTrader_JoshP]

Hi Anagoge,

Thank you for the clarification and new suggestion. I have put your suggestions on the list of future considerations.

[Anagoge]

I keep coming across more ideas to improve the optimizer, so I'll continue to post them, in case they are useful, unless someone asks me to stop:

- In addition to my previous idea to allow custom columns in the trade grid results, it would also be helpful to be able to add individual columns to the optimizer grid (the one where it keeps the best 10 parameter combinations by profit factor, etc.) where the column would represent the value of a single parameter to the strategy. Currently, all parameters are stuffed into a single Parameters column. Then, I could sort the results by a given parameter value and see how the cumulative profit trends with that parameter, etc. This is very similar to my suggestion to allow graphing these types of relationships, but might be easier to implement directly in the grid rather than in a graph.

- It would be great to be able to sort the trade/optimizer grids by more than one column. I've seen some applications that do this by clicking the first header to set the main sort and then Ctrl+clicking additional headers to set the secondary sort columns. For example, I could first sort by the instrument name and then by cumulative profit, etc.

[NinjaTrader_JoshP]

Thanks. Forwarded to development.

[Anagoge]

Another suggestion:
During a long optimization, the NT 6.5 progress dialog floats on top of all other applications running on the desktop. I believe it would be better to only float on top of the NT windows, not things like Explorer, browsers, etc. (I'm running Windows Vista in case it matters.)

[NinjaTrader_JoshP]

Thanks for the suggestion. We will forward it to development.

[Anagoge]

The NT 6.5 optimizer seems to be able to calculate the average drawdown (the blue horizontal line in the drawdown graph) on the Graphs tab, but that number is not available in the Optimizer tab grid. To me, the average drawdown is a lot more important than the max drawdown, so I'd love to be able to see the average drawdown in the optimizer grid so I can export that data to Excel, etc.

[NinjaTrader_JoshP]

You can get this number by going into the Periods tab and exporting the DD column. Then use Excel to calculate out the Average DD for you.

[Anagoge]

I can do it manually, but if I optimized a parameter from 1-100, I'd have to export and run calculations on 100 separate grids from the periods tab to get the 100 averages. I'm much too lazy to do that, so I'd rather NT do it for me.

[NinjaTrader_JoshP]

Thank you for your suggestion. We will add it to the list of future considerations.

[Anagoge]

I'm working on strategies that have various named entry signals for different trade types within the strategy (3 short signals and 3 long signals based on different but related indicators). Non-performing trade types could easily be skipped based on market activity, so I would find it very useful to be able to analyze trades by the entry signal name (win %, avg profit %, drawdown, cumulative profit, # of trades, etc.). For example, on the optimizer's Graphs and Summary tabs, it would be useful to group/filter the data by the signal name, in addition to the existing method of separating out the performance of long/short trades. Adding such a filter/group feature on the periods/trades tabs would also be useful.

I could do this analysis manually by exporting to Excel, but it would save time if NT had this built-in.

I'm looking forward trying the improved (faster, hopefully!) optimizer in NT7.

[NinjaTrader_JoshP]

Thank you for the suggestion. It has been forwarded to development.

[Anagoge]

It would be helpful if the optimizer graphs tab cumulated profit graph could have a similar option in the dropdown to show an unrealized cumulated profit graph in addition to the existing realized profit graph. The reason is that for strategies that only trade every few weeks/months, the changes in the prices of the underlying security are not reflected in the graph until the position is closed, so a common result is a set of tall stairsteps in the existing realized cumulated profit, without any visual indication of how volatile/active the position was while it was held for those weeks/months.

[NinjaTrader_Ray]

Thanks for sharing your thoughts and adding to this thread.

[Anagoge]

It would be great if the Periods tab on the optimizer results could display the average and the standard deviation of all the periods combined. That would allow viewing the yearly/monthly/weekly average return and standard deviation (maybe some people would also want a min/max) of any column in the grid.

A dropdown selection for quarterly results (between monthly/yearly) might also be nice.

[NinjaTrader_JoshP]

What do you mean an average of the periods? Each optimization result is independent of the next one. How would you average them?