Optimizer Suggestions

[Anagoge]

I agree you wouldn't generally want to average anything across optimization runs. As far as I know, though, the grid on the periods tab in the optimization results is always specific to a single set of input parameters. It lists the monthly/yearly/etc. performance results for only those parameters.

[NinjaTrader_Bertrand]

Hi Anagoge,

so you basically look for a way to evaluate how a strategy behaves across all parameter sets combined? Makes sense to me to see how parameter sensitive your 'edge' is...

Thanks for your input!

[Anagoge]

so you basically look for a way to evaluate how a strategy behaves across all parameter sets combined? Makes sense to me to see how parameter sensitive your 'edge' is...

This isn't what I'm trying to suggest, though I can certainly imagine some people using your suggestion (sort of a poor-man's regression analysis on the effects of changing params between optimizer runs).

All I want is averages, etc. displayed at the bottom of the Periods grid on the Periods tab (not the parent Optimizer tab - see mockup screenshot). The Periods grid only displays data for a single set of parameters at once, as far as I know, and the averages would only be for the selected optimizer run. There would be no averages across different sets of parameters. I'm having a hard time starting this clearly, but hopefully it makes sense now.

[NinjaTrader_JoshP]

Thank you for the suggestion. I will also add this to the list of future considerations.

[Anagoge]

It would be helpful to be able to save off sets of optimizer parameters for a given strategy (similar to how you can save off result sets, which is very handy!). Or alternatively, NT save the last used parameter set for the next time I start NinjaTrader. The main reason I would use this is because I need to restart NinjaTrader when it gets high on memory usage, but then when optimizing complex strategies, I have to re-enter 8+ parameter ranges when I restart and be certain I get all numbers the same, so I get consistent results.

[Anagoge]

The MAE graph in the optimizer results displays the x/horizontal axis in dollars. It would be nice to be able to see it in percentages relative to entry price (maybe do this when "Percent" is selected in the toolbar's dropdown, or a new checkbox to enter this mode). The reason is that with percentages, you could find the rightmost green triangle (win), and set a stop loss at just beyond that percentage and get a stop that would have saved capital on all further (right) losses, but not decreased the gain for any winning trades. For now, one can manually convert the horizontal axis MAE dollars to a percent of the entry price, so it isn't a huge deal, but a NT feature would make this process a bit easier.

On the plus side, the MAE graph, as is stands now, is useful for setting dollar-based stop losses.

[NinjaTrader_Bertrand]

Thanks for your continued input Anagoge!

[Anagoge]

I'd like to see an option to apply a logarithmic scale to the cumulated profit graph Y axis and allow the Y axis also be in dollars. This would be the most helpful if the backtester eventually has built-in support for position sizing based on a % of current (not starting) account value, so that compounding can take place and be visualized in the usual method as described above.

[NinjaTrader_Ray]

Thanks for the additional suggestion.

[Anagoge]

I noticed the cumulated profit graph y axis description can overlap the $ value labels. See the attached screenshot. I ran a strategy that earns a bit over a long period, then switched the dropdown to show currency (not percent), and then the shown overlap happens.

[NinjaTrader_Ray]

Thanks for reporting.

[Anagoge]

A couple of minor suggestions:

It would be great if the optimize parameters dialog remembered its size, so I would only need to resize it once.

It would also be nice if the grid properties dialog was resizable (this is available from the context menu of the optimizer results grid). Currently, it only shows 7 columns at once.

[Anagoge]

There seems to be a bug in the Currency display of the optimizer results Trades tab. I assume that the Currency view "Profit" column should show the total $ gained/lost per trade ((exit-entry) * shares, for long stock trades). Instead, it seems to just show the percent view divided by 100 and rounded, so a 58.4% gain shows as a $0.58 gain.

[NinjaTrader_JoshP]

Please see this link as to how profit is calculated: http://www.ninjatrader-support.com/H...tedProfit.html

[Anagoge]

I've taken a look at that formula, but the numbers still no not make sense to me. As an example, the currency formula is:

CumulatedProfit = SUM(profit * quantity * point value)
For a stock trade that is:
CumulatedProfit = SUM(profit * quantity * 1)
Or just:
CumulatedProfit = SUM(profit * quantity)

For a single long stock trade, that is:
CumulatedProfit = (exit-entry) * quantity
So, for my first trade in the screenshot:
CumulatedProfit = (117.98-133.70) * 37
CumulatedProfit = -15.72 * 37
CumulatedProfit = -581.64

Cumulated profit in the screenshot for the first trade is reported as $-0.12. If I solve for the entry/exit given that number, I get:
-0.12 = (exit-entry) * 37
-0.12/37 = exit-entry
$-0.003 = exit-entry

What am I missing here?